The influence of macroeconomic variables on the dynamic conditional correlations of stock market returns. An empirical evidence of BRIC economies.

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By : Corbisier de Méaultsart, Clémence [UCL] du Parc Locmaria du Parc, Grégoire [UCL] Directed by : Leonardo Iana [UCL]

This thesis examines whether the macroeconomic variables can help investors understanding with greater accuracy the dynamic conditional pairwise correlation of BRIC in order to assess the risk level of their portfolio. Based on our observations we can therefore conclude that macroeconomic variables (exchange rate, interest rate, inflation rate, money supply an oil price) do indeed have an influence on the integration of BRIC stock markets.

Access type : Accès libre
Year : 2022
Keywords : financial, macroeconomic
Language : Anglais
Faculty : Louvain School of Management
Degree : Master [120] : ingénieur de gestion, à finalité spécialisée
Bibliographic reference Corbisier de Méaultsart, Clémence ; du Parc Locmaria du Parc, Grégoire. The influence of macroeconomic variables on the dynamic conditional correlations of stock market returns. An empirical evidence of BRIC economies.. Louvain School of Management, Université catholique de Louvain, 2022. Prom. : Leonardo Iana .
Permanent URL http://hdl.handle.net/2078.1/thesis:36143