The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlations

Mauro Mastella, Rodrigo Coster


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.

Keyword s : Mu l t i v a r i a t e G A RCH.
Conditional Correlation. Volatility.


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