UMA APLICAÇÃO DAS METODOLOGIAS DE FORBES & RIGOBON E FRY, MARTING E TANG PARA AVALIAÇÃO DE CONTAGIO FINANCEIRO

Abstract

The objective of this study was to analyze how the health crisis caused by Covid-19 affected the financial contagion between the Brazilian market and its main trading partners. In the theoretical framework, the behavior of the Brazilian stock exchange index (B3), its correlations and co-asymmetry in relation to other relevant indicators of the financial market, such as the S&P 500, Nikkei, Merval and Shanghai, is discussed. For the analysis, two complementary methodologies were used: the co-volatility test and the co-asymmetry test, developed by Forbes & Rigobon (2002) and Fry, Martin & Tang (2010). These approaches broaden the correlation analysis by including the dimension of co-asymmetry in the assessment of financial contagion. Daily data from January 2018 to May 2023 were used, which covers the pre-pandemic and pandemic period caused by Covid-19. The results indicate that, in some cases, there were changes in correlations and co-asymmetry between returns in the crisis and pre-crisis periods. The Fry, Martin & Tang test revealed that the Ibovespa has a strong connection with the S&P 500 and the Merval, making the hedging strategy between these markets ineffective. The study also reinforces the importance of considering not only correlations, but also co-asymmetry for a deeper understanding of the dynamics between markets during periods of crisis.