文章基本信息

标题："Contagion" between the emerging and developed capital markets: empirical evidence and reflections on the international portfolio diversification
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作者：Else Monteiro Nogueira ; Wagner Moura Lamounier
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2008
卷号：6
期号：2
页码：267-286
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：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.
其他摘要：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.
关键词：Cointegration;VEC;emerging markets;developed markets;international diversiﬁcation;Cointegracão;VEC;mercados emergentes, mercados desenvolvidos, diversiﬁcação internacional
其他关键词：Finance; Business;Cointegration; VEC; emerging markets; developed markets; international diversiﬁcation;G11; C32; E32; G15