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Analysis of co-movements between the capital markets in Brazil and the United States

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GVcepe_Bergmann; Savoia; Silva; Nakamura.pdf (132.8Kb)
Date
2011
Author
Bergmann, Daniel Reed
Savoia, José Roberto Ferreira
Silva, Wesley Mendes da
Oliveira, Mauri Aparecido de
Nakamura, Wilson Toshiro
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Abstract
In this article copula theory is used to analyze the co-movements between the Brazilian and American capital markets. To formulate an effective asset allocation strategy, it is important to understand extreme events – both positive (booms) and negative (crashes) – and their effects on markets. The market indexes used are the Ibovespa and the S&P 500, covering the period from March 2001 to April 2007. We tested the adherence to the log-returns of the main copulas found in the financial literature, using the following criteria: log-likelihood, Akaike information criterion and Bayesian information criterion. The results show that the symmetrized Joe-Clayton copula is most suitable to model the dependence structure between the log-returns of the Ibovespa and the S&P500. This work differs from some previous ones (e.g., Mendes & Moretti, 2005 and Canela & Collazo, 2005) because we take into account the modeling of dynamic copulas, as introduced by Patton (2006). Finally, from the tail-dependence indexes over time, it can be concluded that the occurrence of crashes in the American market tends to affect the Brazilian market more than does the occurrence of booms.
URI
http://hdl.handle.net/10438/19196
Collections
  • FGV EAESP - GVcepe - Artigos Acadêmicos
Knowledge Areas
Administração de empresas
Subject
Co-movements
Copulas
Asset returns
Financial strategy
Administração de empresas
Mercado de capitais - Brasil
Mercado de capitais - Estados Unidos
Cópulas (Estatística matemática)
Risco (Economia)

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