BRIC (Brasil, Rússia, Índia e China): uma análise da volatilidade da bolsa de valores – jan/2005 a mar/2010

Abstract

This study examines the volatility of the stock exchange for the BRIC countries from January 2005 to March 2010. The research aims to verify the existence of the contagion effect between these emerging markets. We used several models of deterministic GARCH volatility, both univariate and multivariate. We also investigated the extent to which the financial crisis of 2008 resulted in changes in the relationship between these countries. To this end, estimates were made for the period before and after 2008. The results showed the existence of several stylized facts of volatility in the stock market, as asymmetry, clustering and leverage effect. However, we could not accept the contagion effect hypothesis, although the values found for correlation to the post crisis period are higher than those calculated for the period that precedes it. Thus, by investing in assets in BRIC countries international investors can diversify risks.