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Has recent financial crisis changed permanently the correlations between BRICS and developed stock markets? |
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| Institution: | 1. School of Economics and Management, University of Science and Technology Beijing, Beijing, China;2. College of Business, University of Texas at San Antonio, TX, USA;1. Faculty of Finance and Banking, Shanxi University of Finance and Economics, Taiyuan, China;2. Department of Finance, Ocean University of China, Qingdao, Shandong, China |
| Abstract: | 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. |
| Keywords: | BRICS stock market Developed stock market Conditional correlation Long-run trend |
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