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Has recent financial crisis changed permanently the correlations between BRICS and developed stock markets?

Bing Zhang, Xindan Li and Honghai Yu

The North American Journal of Economics and Finance, 2013, vol. 26, issue C, 725-738

Abstract: The paper finds recent financial crisis has changed permanently the correlations between BRICS and developed U.S. and Europe stock markets. 70% of BRICS stock markets’ conditional correlation series demonstrate an upward long-run trend with the developed stock markets. Our results provide convincing evidence that the reducing diversification benefits are a long-run and world-wide phenomenon, especially after recent financial crisis.

Keywords: BRICS stock market; Developed stock market; Conditional correlation; Long-run trend (search for similar items in EconPapers)
JEL-codes: G01 G15 C22 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:26:y:2013:i:c:p:725-738

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