Using statistical instruments for the analysis of time series, - this work aims to verify the relation of returns of stock investments between the main emerging and the developed capital markets. The sample was divided in two periods: 1995-2002 and 2003-2005, in view of their different external vulnerability moments. At the beginning, - in spite of - several economic crises, only Russia’s stock market returns - suffered great impacts, compared with those at other markets’. Between 2003-2005, however, the returns of other emerging markets, as Brazil’s and Mexico’s, answered in a more significant form to the shocks in the returns of other markets.
International diversification of portfolios; Stock markets; Granger causality; Vector Auto Regressive model; Impulse Response Function