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: C22 G01 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (53)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:26:y:2013:i:c:p:725-738

DOI: 10.1016/j.najef.2013.05.003

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