Author(s)

Amanjot Singh^1*, Parneet Kaur²

¹University School of Applied Management, Punjabi University, Patiala, India.
²University School of Management Studies, Punjabi University, Patiala, India.

The present study attempts to empirically analyze the co-movement in the BRIC countries’ stock markets in the long run by employing a Johansen cointegration technique. We have divided the sample period into two parts to account for the co-movement during the recent financial crisis. The results indicate no long run co-movement among the BRIC countries as a whole during both of the sample periods. However, the pairwise and multivariate cointegration tests highlight the existence of a co-movement among the Brazilian, Russian and the Chinese markets, excluding Indian during the financial crisis and the period afterwards. Furthermore, the exclusion tests highlight a significant contribution of the Brazilian market in the long run causality in the context of both the Russian and Chinese markets. The Russian market acts as a source of any market shock, further been absorbed by the Brazilian and Chinese markets at the pace of 4 percent per week.

Co-Movement, Cointegration, Financial Crisis, Johansen Approach, Portfolio

Singh, A. and Kaur, P. (2016) Do BRIC Countries’ Equity Markets Co-Move in Long Run?. Theoretical Economics Letters, 6, 119-130. doi: 10.4236/tel.2016.62014.