ESTUDO DAS INTER-RELAÇÕES ENTRE OS MERCADOS ACIONÁRIOS DO BRICS E DOS ESTADOS UNIDOS

This paper aims to analyze the inter-relationship between BRICS stock markets and the US stock market. Econometric methods were applied to the daily data of the exchanges studied. For measurements of the short-term relationships, the Pearson correlation coefficient and Granger causality test were used. In the study of the long-term effects the Johansen cointegration test was applied. A positive correlation was detected among all indices studied, highlighting the strong correlation between the Brazilian and North American index. Granger causality was obtained among the indices surveyed, with emphasis on the Brazilian and North American indices, which showed causality on all other indexes. The Brazilian index had no causal effect from any other country except the United States. For the long term, considering all the indices in a single measure, there was co-integration between the BRICS and S&P 500 stock markets.