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BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets

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  • Marcelo Bianconi
  • Joe A. Yoshino
  • Mariana O. Machado de Sousa

Abstract

We examine empirical evidence of the behavior of stocks and bonds from BRIC nations using daily data from January 2003 to July 2010. We present unconditional and conditional emprical results depending upon a simple measure of U.S. financial stress. In the long term, BRIC bonds markets deviate much more from the U.S. financial measure than BRIC bonds and stocks deviate among themselves. Stocks and bonds returns correlations for Brazil and Russia are significantly large and negative. The own correlations are more important in determining the evloution of the conditional correlations relative to unexpected news. Dynamic conditional correlations between stock returns, bond returns and U.S. financial stress increase after the Lehman Brothers event in September 2008, except for bond returns in India.

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Bibliographic Info

Paper provided by Department of Economics, Tufts University in its series Discussion Papers Series, Department of Economics, Tufts University with number 0764.

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Date of creation: 2011
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Handle: RePEc:tuf:tuftec:0764

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Keywords: BRIC; stock-bond returns; conditional volatility; dynamic conditional correlation; financial crisis.;

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  12. Marcelo Bianconi & Joe A. Yoshino, 2010. "Firm Value, Investment and Monetary Policy," Discussion Papers Series, Department of Economics, Tufts University 0748, Department of Economics, Tufts University.
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Cited by:
  1. Zhang, Bing & Li, Xindan & Yu, Honghai, 2013. "Has recent financial crisis changed permanently the correlations between BRICS and developed stock markets?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 725-738.
  2. Marcelo Bianconi & Joe A. Yoshino, 2012. "Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies," Discussion Papers Series, Department of Economics, Tufts University 0765, Department of Economics, Tufts University.

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