The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlations

Autor:	Mauro Mastella, Rodrigo Coster
Jazyk:	English<br />Spanish; Castilian<br />Portuguese
Rok vydání:	2014
Předmět:	Mu l t i v a r i a t e G A RC H .1 Conditional Correlation.1 Volatility.1 Commerce HF1-6182 Business HF5001-6182
Zdroj:	Revista Brasileira de Gestão De Negócios, Vol 16, Iss 50, Pp 110-123 (2014)
Druh dokumentu:	article
ISSN:	1806-4892 1983-0807
DOI:	10.7819/rbgn.v16i50.1534
Popis:	This article uses a BEKK-MGARCH model to identify the historical behavior of the term structure of covariance of the Brazilian BM&FBovespa stock exchange when compared to other exchanges in the American continent. The purpose of this research is to analyze the impact of the 2008 crisis on the cohesion of the Brazilian stock exchange when compared to the other exchanges in the sample. To this end, historical series were collected from five different stock market indexes ranging from the pre-crisis period until 2011. The bivariate modeling results indicate the presence of increased cohesion in the stock market indexes during the crisis period and the non-return of this cohesion to pre-crisis levels. They also indicate that, among the pairs analyzed, the pair of indexes IBOV x IPSA are the most appropriate choice for portfolio diversification.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/80dd7a2dc78547f7a5b3e545a98258ba Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF