TITLE:
Do BRIC Countries’ Equity Markets Co-Move in Long Run?
AUTHORS:
Amanjot Singh, Parneet Kaur
KEYWORDS:
Co-Movement, Cointegration, Financial Crisis, Johansen Approach, Portfolio
JOURNAL NAME:
Theoretical Economics Letters,
Vol.6 No.2,
March
31,
2016
ABSTRACT: 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.