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

Author

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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.

Suggested Citation

  • Marcelo Bianconi & Joe A. Yoshino & Mariana O. Machado de Sousa, 2011. "BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets," Discussion Papers Series, Department of Economics, Tufts University 0764, Department of Economics, Tufts University.
  • Handle: RePEc:tuf:tuftec:0764
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    File URL: http://ase.tufts.edu/econ/research/documents/2012/bianconiBRIC.pdf
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    References listed on IDEAS

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    Cited by:

    1. Amanjot Singh & Parneet Kaur, 2017. "A Short Note on Information Transmissions Across US-BRIC Equity Markets: Evidence from Volatility Spillover Index," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(1), pages 197-208, March.
    2. Marcelo Bianconi & Joe Akira Yoshino, 2015. "Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies," Review of Economics & Finance, Better Advances Press, Canada, vol. 5, pages 1-21, February.
    3. repec:eaa:aeinde:v:17:y:2017:i:1_3 is not listed on IDEAS
    4. 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.
    5. Dakhlaoui, Imen & Aloui, Chaker, 2016. "The interactive relationship between the US economic policy uncertainty and BRIC stock markets," International Economics, Elsevier, vol. 146(C), pages 141-157.
    6. Amanjot Singh & Manjit Singh, 2016. "Investigating Impact of US, Europe, Frontier and BRIC Stock Markets on Indian Financial Stress Index," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(6), pages 23-44, June.
    7. Amanjot SINGH & Parneet KAUR, 2015. "Stock Market Linkages: Evidence From the US, China and India During the Subprime Crisis," Timisoara Journal of Economics and Business, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 8(1), pages 137-162, June.
    8. Elie Bouri & Rangan Gupta & Seyedmehdi Hosseini & Chi Keung Marco Lau, 2017. "Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model," Working Papers 201704, University of Pretoria, Department of Economics.
    9. repec:beo:journl:v:62:y:2017:i:212:p:85-112 is not listed on IDEAS
    10. repec:spt:apfiba:v:7:y:2017:i:5:f:7_5_5 is not listed on IDEAS
    11. Hammoudeh, Shawkat & Kang, Sang Hoon & Mensi, Walid & Nguyen, Duc Khuong, 2014. "Dynamic global linkages of the BRICS stock markets with the U.S. and Europe under external crisis shocks: Implications for portfolio risk forecasting," MPRA Paper 73400, University Library of Munich, Germany, revised Mar 2016.
    12. repec:ipg:wpaper:2014-549 is not listed on IDEAS
    13. Hatice Gaye Gencer, 2015. "Flight-to-quality or contagion effect? An analysis from the Turkish and the US financial markets," Financial Theory and Practice, Institute of Public Finance, vol. 39(3), pages 325-340.
    14. Sayaeed, Mohammad Abu & Dungey, Mardi & Yao, Wenying, 2015. "High frequency characterization of Indian banking stocks," Working Papers 2015-04, University of Tasmania, Tasmanian School of Business and Economics.

    More about this item

    Keywords

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

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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