This study aims to give evidences of opportunities for long time horizon investors
who may construct their portfolios based on strategies of global diversification. As
long as BRIC countries constitute usual choice because their economies are
developing with high growth rates and seem to be diversified from the mature
markets, this study investigates if this hypothesis holds by applying cointegration and
error correction model techniques. Empirical results suggest that there are long run
linkages between the BRIC countries and three major European markets such as UK,
Germany and France and all of the markets seem to be endogenous. The emerging
markets seem to be more sensitive to shocks that happened to the mature markets
than the opposite. The long run relationships allow limited opportunities for
investors who follow long period investment strategies.
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