Analysis of the relationship between risk and return in portfolios comprising stock exchange indexes from developed and emerging countries members of BRICs economic bloc

• Autor(a) principal: Santos, José Odálio dos
• Data de Publicação: 2010
• Outros Autores: Coelho, Paula Augusta
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Revista Contabilidade & Finanças (Online)
• Texto Completo: https://www.revistas.usp.br/rcf/article/view/34319
• topic: Globalização financeira; Carteiras; Diversificação; Risco; Retorno; Financial globalization; Portfolios; Risk; Return

The aim of this study was to examine whether the formation of portfolios composed of international assets can provide risk and return more advantageous for the investor. In parallel, we analyzed the stage of integration between the economies of selected countries through the model developed by Securato (1997), called Restricted Globalization Level (NGR). The survey was based on two periods: 1996 to 2000, when the opening of important emergent markets is intensified, and from 2003 to 2007 to compare the results. To analyze the contribution of international diversification, we calculated the risk and return of four portfolios: 1. stock market indexes of developed countries (UK, USA and Japan) and the BRIC countries, 2. stock market indexes from the U.S. and the BRIC countries, 3. stock market indexes of BRIC countries, and 4. stock market indexes of developed countries. The empirical results suggest that investors would get the best results if they chose portfolios composed of stock market indexes of the United States and the BRIC countries. The addition of these assets in the portfolio would generate lower rates of covariance, i.e., lower risk exposure per unit of return. Moreover, although increasing the level of globalization of markets in the latest survey period (2003-2007) increased, there was a need for greater integration between the economies of selected countries (NGR