Causality between stock return rates: emerging versus developed capital markets
DOI:
https://doi.org/10.1590/S1519-70772007000100004Keywords:
International diversification of portfolios, Stock markets, Granger causality, Vector Auto Regressive model, Impulse Response FunctionAbstract
Using statistical instruments for the analysis of time series, - this work aims to verify the relation of returns of stock investments between the main emerging and the developed capital markets. The sample was divided in two periods: 1995-2002 and 2003-2005, in view of their different external vulnerability moments. At the beginning, - in spite of - several economic crises, only Russias stock market returns - suffered great impacts, compared with those at other markets. Between 2003-2005, however, the returns of other emerging markets, as Brazils and Mexicos, answered in a more significant form to the shocks in the returns of other markets.Downloads
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