ABSTRACT
This article uses a BEKK-MGARCH model to identify the historical behavior of the term structure of covariance of the Brazilian BM&FBovespa stock exchange when compared to other exchanges in the American continent. The purpose of this research is to analyze the impact of the 2008 crisis on the cohesion of the Brazilian stock exchange when compared to the other exchanges in the sample. To this end, historical series were collected from five different stock market indexes ranging from the pre-crisis period until 2011. The bivariate modeling results indicate the presence of increased cohesion in the stock market indexes during the crisis period and the non-return of this cohesion to pre-crisis levels. They also indicate that, among the pairs analyzed, the pair of indexes IBOV x IPSA are the most appropriate choice for portfolio diversification.
Keywords:
Multivariate GARCH; Conditional Correlation; Volatility