Author(s): Eder J. A. L. Pereira ; Letícia S. Anjos ; Paulo Ferreira ; Derick D. Quintino ; Dora Almeida
Date: 2025
Persistent ID: http://hdl.handle.net/10400.26/60355
Origin: Instituto Politécnico de Portalegre
Subject(s): cross-correlation; green bonds
This paper evaluated the cross-correlation between the BRICS (Brazil, Russia, India, China and South Africa) markets with commodities and green bonds. For this purpose, the detrended moving-average cross-correlation coefficient (ρDMCA) was used, based on a sliding windows approach, with data covering a sample before the COVID-19 pandemic, during the COVID-19 pandemic and after Russia invaded Ukraine. The results show a positive cross-correlation between BRICS markets and commodities and green bonds after the COVID-19 pandemic, mainly for long time scales. This result can contribute to financial risk analysis, especially regarding hedge funds.
