Work

Dynamic Cross-Correlation Between BRICS Markets, Commodities and Green Bonds

Year: 2025

Type: article

Abstract: 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 ([Formula: see text] 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.

Source: Fluctuation and Noise Letters

DOI: 10.1142/s0219477525500531

Authors: Eder J. A. L. Pereira, Letícia S. Anjos, Paulo Ferreira, Derick D. Quintino, Dora Almeida

Institutions: Instituto Federal do Maranhão, University of Évora, Universidade Politécnica de Portalegre, Universidade Federal de Lavras

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Fundação para a Ciência e a Tecnologia

Awards: G1625907848, Centro de Investigação para a Valorização de Recursos Endógenos, Centro de Estudos e Formação Avançada em Gestão e Economia da Universidade de Évora (CEFAGE-UE)