BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets

Bianconi, Marcelo; Yoshino, Joe Akira; Sousa, Mariana O. Machado de

doi:10.2139/ssrn.1988416

Cited by 4 publications

(7 citation statements)

References 47 publications

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“…Aloui et al (2011) show that the stock markets of Brazil and Russia are more dependent on the US stock market conditions than China and India. Similar results are reported by Bianconi et al (2013). Dimitriou et al (2013) use the multivariate fractionally integrated asymmetric power ARCH dynamic conditional correlation (FIAPARCH-DCC) model and report that the dependence between the US and BRICS stock markets is higher in bullish than in bearish markets, highlighting the diversification benefits.…”

Section: Related Studiessupporting

confidence: 73%

Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model

Bouri

Gupta

Hosseini

et al. 2018

Emerging Markets Review

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We examine the predictive power of implied volatility in the commodity and major developed stock markets for the implied volatility in individual BRICS stock markets. We use daily data from 16 March 2011 to 07 October 2016 and employ the newly developed Bayesian Graphical Structural Vector Autoregressive (BGSVAR) model of Ahelegbey et al. (2016). We report evidence that the predictability of individual implied volatilities in BRICS is generally a function of both global and within the group stock market implied volatilities, and that the role of commodity market volatility is marginal, except for South Africa. Important implications for policy-makers and portfolio-managers are discussed.

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Section: Related Studiessupporting

confidence: 73%

Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model

Bouri

Gupta

Hosseini

et al. 2018

Emerging Markets Review

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“…According to Figure 4.8, it is possible to see that both estimates (DCC and DCLMF) share common information -there is a correlation of 0.31 between both estimates. Moreover, both estimates provide proofs that, in general, China is insulated from the US, despite the fact that there are evidences of risk transmission between these markets -this finding is in line with Bianconi, Yoshino and Sousa (2013) and Syriopoulos, Makram and Boubaker (2015). The DCLMF points to an average correlation of 0.06 and the DCC has an average of 0.02 (in the whole period) -supporting the previous statement.…”

Section: Comparing the Dynamic Correlation Based On Long Memory Filtesupporting

confidence: 78%

“…According to Figure 4.9, DCC and DCLMF also share common information -there is a 0.76 correlation between both estimates. But, differently from the comparison between China and U.S., Brazilian and U.S. markets seem to be reasonably integrated, with an average correlation of 0.3751 (DCLMF) and 0.5175 (DCC) -again, in line with the findings of Bianconi, Yoshino and Sousa (2013) and Bergmann et al (2014). In addition to that, DCLMF seems to allow faster level shifts in comparison to the DCC (when economies are integrated).…”

Section: Comparing the Dynamic Correlation Based On Long Memory Filtesupporting

confidence: 75%

“…To support this statement, it is worth mentioning that the world is witnessing "one of the largest and most complex financial crisis to date", which started in the U.S. housing market, spread to the American financial market and, finally, to the rest of the world, according to Bianconi, Yoshino and Sousa (2013).…”

Section: The Importance Of Risk Analysis and Risk Contagionmentioning

confidence: 99%

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Essays on long memory processes.

Neto¹

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The present work aims at discussing the main theoretical aspects related to the occurrence of long memory processes and its respective application in economics and finance. In order to discuss the main theoretical aspects of its occurrence, it is worth starting from the complex systems approach and emergent phenomena, keeping in mind that many of these are computationally irreducible. In other words, the current state of the system depends on all previous states, in such a way that any change in the initial configuration must cause a significant difference in all posterior states. That is, there is a persistence of information over time-this is a concept directly related to long memory processes. Hence, based on complex systems simulations, three factors (possibly there are many others) were related to the rise of long memory processes: agents' heterogeneity, occurrence of large deviations from the steady states (in conjunction with the motion laws of each system) and spatial complexity (which must influence on information propagation and on the dynamics of agents competition). In relation to the applied knowledge, first it is recognized that the explanatory factors for the rise of long memory processes are common to the structures/characteristics of real markets and it is possible to identify potential stylized facts when filtering the long memory components from time seriesa considerable part of information present in time series is a consequence of the autocorrelation structure, which is directly related to the specificities of each market. Given that, in this thesis was developed a new risk contagion technique that does not need any further intervention. This technique is basically given by the calculation of rolling correlations between long memory filtered series of the conditional variances for different economies, such that these filtered series contain the stylized facts (risk peaks), free from possible overreactions caused by market idiosyncrasies. Then, based on the identification of risk contagion episodes related to the 2007/2008 Subprime Crisis in the U.S. and its respective contagion to the Brazilian economy, it was filtered out from the conditional variance of the Brazilian assets (which are an uncertainty measure) aiming at eliminating the contagion episodes and, consequently, it was made a counterfactual projection of what would have happened to the Brazilian economy if the risk contagion episodes had not occurred. Moreover, in conjunction with the evolutionary trend of the Brazilian economy prior to the crisis, it is possible to conclude that 70% of the economic crisis posterior to the 2008 events was caused by macroeconomic policies and only 30% is due to the effects of risk contagion episodes from the U.S.

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“…Bianconi, Yoshino and Sousa (2012) present an analysis of Brazilian financial assets in a comparative context of the BRIC and the influence of the U.S. financial crisis.…”

mentioning

confidence: 99%

Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies

Bianconi

Yoshino

2012

SSRN Journal

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BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets

Cited by 4 publications

References 47 publications

Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model

Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model

Essays on long memory processes.

Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies

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