This paper examines the dependence structure between the emerging stock markets of the BRICS countries and influential … that the BRICS stock markets exhibit dependence with the global stock and commodity markets (S&P index, oil, and gold) as … well as changes in the U.S. stock market uncertainty (CBOE Volatility Index). This dependence structure is often asymmetric …

This paper examines the dependence structure between the emerging stock markets of the BRICS countries (Brazil, Russia … period from September 1997 to September 2013 show that the BRICS stock markets exhibit asymmetric dependence with the global … stock market and this dependence has not changed since the onset of the recent global financial crisis. Moreover, oil prices …

This paper analyzes the relations between macroeconomic variables and the Brazilian stock market index, the Ibovespa … Ibovespa reacts negatively to impulses in the exchange rate, interest rate differential and variations in the Selic rate … investors, which explains the considerable variation in the Ibovespa index during that period. …

IBOVESPA, Dow Jones, taxa de juros brasileira, taxa de câmbio e no spread do C-Bond e verificar se há co-movimentos abruptos … Logit. Dentre os resultados encontrados, destacam-se a resposta assimétrica dos saltos do IBOVESPA às novidades boas e ruins … e que os possíveis comovimentos entre Dow Jones e IBOVESPA são menos frequentes do que com os do spread do C-Bond. …

) and Imob (a Brazilian real estate sector index), as well as the correlation between Ifix and Ibovespa index, which … results show that both correlations were not significant, although the correlation between REITs and Ibovespa appear to be …

This paper estimates the conditional volatility of the main Brazilian stock market index (Ibovespa), using traditional … that both aproaches capture well Ibovespa's volatility, with a slight advantage of the EGARCH(1,1) model. Additionally, the …

stock market (Ibovespa). The study analyzes the role that macroeconomic fundamentals plays, but also the role that the …