U.S. subprime financial crisis contagion on BRIC and European Union stock markets
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Revista de Administração (São Paulo) |
Texto Completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072015000200229 |
Resumo: | ABSTRACTThe Copula Theory was used to analyze contagion among the BRIC (Brazil, Russia, India and China) and European Union stock markets with the U.S. Equity Market. The market indexes used for the period between January 01, 2005 and February 27, 2010 are: MXBRIC (BRIC), MXEU (European Union) and MXUS (United States). This article evaluated the adequacy of the main copulas found in the financial literature using log-likelihood, Akaike information and Bayesian information criteria. This article provides a groundbreaking study in the area of contagion due to the use of conditional copulas, allowing to calculate the correlation increase between indexes with non-parametric approach. The conditional Symmetrized Joe-Clayton copula was the one that fitted better to the considered pairs of returns. Results indicate evidence of contagion effect in both markets, European Union and BRIC members, with a 5% significance level. Furthermore, there is also evidence that the contagion of U.S. financial crisis was more pronounced in the European Union than in the BRIC markets, with a 5% significance level. Therefore, stock portfolios formed by equities from the BRIC countries were able to offer greater protection during the subprime crisis. The results are aligned with recent papers that present an increase in correlation between stock markets, especially in bear markets. |
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U.S. subprime financial crisis contagion on BRIC and European Union stock marketscontagioncopula theorycorrelationU.S. subprime crisisABSTRACTThe Copula Theory was used to analyze contagion among the BRIC (Brazil, Russia, India and China) and European Union stock markets with the U.S. Equity Market. The market indexes used for the period between January 01, 2005 and February 27, 2010 are: MXBRIC (BRIC), MXEU (European Union) and MXUS (United States). This article evaluated the adequacy of the main copulas found in the financial literature using log-likelihood, Akaike information and Bayesian information criteria. This article provides a groundbreaking study in the area of contagion due to the use of conditional copulas, allowing to calculate the correlation increase between indexes with non-parametric approach. The conditional Symmetrized Joe-Clayton copula was the one that fitted better to the considered pairs of returns. Results indicate evidence of contagion effect in both markets, European Union and BRIC members, with a 5% significance level. Furthermore, there is also evidence that the contagion of U.S. financial crisis was more pronounced in the European Union than in the BRIC markets, with a 5% significance level. Therefore, stock portfolios formed by equities from the BRIC countries were able to offer greater protection during the subprime crisis. The results are aligned with recent papers that present an increase in correlation between stock markets, especially in bear markets.Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo2015-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072015000200229Revista de Administração (São Paulo) v.50 n.2 2015reponame:Revista de Administração (São Paulo)instname:Universidade de São Paulo (USP)instacron:USP10.5700/rausp1196info:eu-repo/semantics/openAccessBergmann,Daniel ReedSecurato,José RobertoSavoia,José Roberto FerreiraContani,Eduardo Augusto do Rosárioeng2015-10-06T00:00:00Zoai:scielo:S0080-21072015000200229Revistahttp://rausp.usp.br/PUBhttps://old.scielo.br/oai/scielo-oai.phprausp@usp.br||reinhard@usp.br1984-61420080-2107opendoar:2015-10-06T00:00Revista de Administração (São Paulo) - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
U.S. subprime financial crisis contagion on BRIC and European Union stock markets |
title |
U.S. subprime financial crisis contagion on BRIC and European Union stock markets |
spellingShingle |
U.S. subprime financial crisis contagion on BRIC and European Union stock markets Bergmann,Daniel Reed contagion copula theory correlation U.S. subprime crisis |
title_short |
U.S. subprime financial crisis contagion on BRIC and European Union stock markets |
title_full |
U.S. subprime financial crisis contagion on BRIC and European Union stock markets |
title_fullStr |
U.S. subprime financial crisis contagion on BRIC and European Union stock markets |
title_full_unstemmed |
U.S. subprime financial crisis contagion on BRIC and European Union stock markets |
title_sort |
U.S. subprime financial crisis contagion on BRIC and European Union stock markets |
author |
Bergmann,Daniel Reed |
author_facet |
Bergmann,Daniel Reed Securato,José Roberto Savoia,José Roberto Ferreira Contani,Eduardo Augusto do Rosário |
author_role |
author |
author2 |
Securato,José Roberto Savoia,José Roberto Ferreira Contani,Eduardo Augusto do Rosário |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Bergmann,Daniel Reed Securato,José Roberto Savoia,José Roberto Ferreira Contani,Eduardo Augusto do Rosário |
dc.subject.por.fl_str_mv |
contagion copula theory correlation U.S. subprime crisis |
topic |
contagion copula theory correlation U.S. subprime crisis |
description |
ABSTRACTThe Copula Theory was used to analyze contagion among the BRIC (Brazil, Russia, India and China) and European Union stock markets with the U.S. Equity Market. The market indexes used for the period between January 01, 2005 and February 27, 2010 are: MXBRIC (BRIC), MXEU (European Union) and MXUS (United States). This article evaluated the adequacy of the main copulas found in the financial literature using log-likelihood, Akaike information and Bayesian information criteria. This article provides a groundbreaking study in the area of contagion due to the use of conditional copulas, allowing to calculate the correlation increase between indexes with non-parametric approach. The conditional Symmetrized Joe-Clayton copula was the one that fitted better to the considered pairs of returns. Results indicate evidence of contagion effect in both markets, European Union and BRIC members, with a 5% significance level. Furthermore, there is also evidence that the contagion of U.S. financial crisis was more pronounced in the European Union than in the BRIC markets, with a 5% significance level. Therefore, stock portfolios formed by equities from the BRIC countries were able to offer greater protection during the subprime crisis. The results are aligned with recent papers that present an increase in correlation between stock markets, especially in bear markets. |
publishDate |
2015 |
dc.date.none.fl_str_mv |
2015-06-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072015000200229 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072015000200229 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.5700/rausp1196 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
text/html |
dc.publisher.none.fl_str_mv |
Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo |
publisher.none.fl_str_mv |
Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo |
dc.source.none.fl_str_mv |
Revista de Administração (São Paulo) v.50 n.2 2015 reponame:Revista de Administração (São Paulo) instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Revista de Administração (São Paulo) |
collection |
Revista de Administração (São Paulo) |
repository.name.fl_str_mv |
Revista de Administração (São Paulo) - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
rausp@usp.br||reinhard@usp.br |
_version_ |
1748936716998148096 |