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

  • Zhang, Bing
  • Li, Xindan
  • Yu, Honghai
Registered author(s):

    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1062940813000508
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    Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

    Volume (Year): 26 (2013)
    Issue (Month): C ()
    Pages: 725-738

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    Handle: RePEc:eee:ecofin:v:26:y:2013:i:c:p:725-738
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620163

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