“Contágio” entre Mercados de Capitais Emergentes e Mercados Desenvolvidos: Evidências Empíricas e Reflexos sobre a Diversificação Internacional de Portfólios

In this research, we analyzed the short and long term interdependenceand relationship between the stock indices of the major emerging capitalmarkets and the major developed markets for the period 1995-2005. The aimwas to verify the existence and the dynamics of the “contagion” between themarkets, or if the occurrence of crises and changes in the behavior of amarket would have impacts on the behavior of the others. In the developmentof the work, we applied the methodology of the Vector Error Correction Model(VEC). We found the presence of cointegrating relationships between themarkets analyzed, but was able to see that, despite being cointegratedmarkets, investors could benet from international diversication ofportfolios. That’s because the speed of adjustment of the long-term ratio ofcointegration between the markets was low for the period analyzed.Accordingly, investors would have the opportunity to reduce risk bydiversifying their portfolios. Keywords: Cointegration; VEC; emergingmarkets; developed markets; international diversication.