“Contágio” entre Mercados de Capitais Emergentes e Mercados Desenvolvidos: Evidências Empíricas e Reflexos sobre a Diversificação Internacional de Portfólios

Abstract

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.

Cointegração e previsibilidade de abordagens VECM para o Ibovespa

“…Na literatura, verifica-se que a presença de cointegração, em séries do mercado financeiro, não implica em previsibilidade de preços ou mesmo em oportunidades de arbitragem. Contudo, são identificadas interferências das relações de longo prazo sobre a diversificação de portfólios (Byers e Peel, 1993;Allen e Macdonald, 1995;Smith, 2002;Lucey e Tully, 2006;D'Ecclesia e Costantini, 2006;Nogueira e Lamounier, 2008).…”

Influência do índice Dow Jones industrial average sobreo índice Ibovespa

“…Pode-se citar alguns estudos relacionados ao tema que possuem respostas positivas, negativas as questões levantadas: Leal (1998), Pereira et al (2000), Grôppo (2001), Pereira et al (2002), Pimenta Junior (2004, Grôppo (2006), Lopes (2006), Nogueira e Lamounier (2007e 2008, Vartanian (2010) e Farias e Sáfadi (2010).…”