Utilizando-se de instrumentais estatísticos para a análise de séries temporais, procurou-se verificar as relações entre os retornos dos principais mercados de capitais emergentes e dos principais mercados desenvolvidos. A amostra foi divida em dois períodos: entre 1995-2002 e entre 2003-2005, tendo em vista os momentos distintos dos mercados quanto à vulnerabilidade externa. No primeiro momento, apesar das diversas crises econômicas, verificou-se que apenas o retorno do mercado emergente da Rússia sofreu grandes impactos ante os choques dos retornos dos outros mercados. Entre 2003-2005, no entanto, os retornos de outros mercados emergentes, como o do Brasil e o do México, responderam de forma significativa aos choques nos retornos dos demais mercados analisados.
In this research, we analyzed the short and long term interdependence
and relationship between the stock indices of the major emerging capital
markets and the major developed markets for the period 1995-2005. The aim
was to verify the existence and the dynamics of the “contagion” between the
markets, or if the occurrence of crises and changes in the behavior of a
market would have impacts on the behavior of the others. In the development
of the work, we applied the methodology of the Vector Error Correction Model
(VEC). We found the presence of cointegrating relationships between the
markets analyzed, but was able to see that, despite being cointegrated
markets, investors could benefit from international diversification of
portfolios. That’s because the speed of adjustment of the long-term ratio of
cointegration between the markets was low for the period analyzed.
Accordingly, investors would have the opportunity to reduce risk by
diversifying their portfolios. Keywords: Cointegration; VEC; emerging
markets; developed markets; international diversification.
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