Abstract
The asymmetric short – and long-run relationships between BRICS stock markets are examined using monthly stock price data from January 2001 through December 2014. The asymmetric co-integration analysis confirms the presence of a long-run association between the BRICS stock markets; where, the speed of adjustment to the negative shocks is higher and statistically significant for the Brazil-India and China-India pairs, which indicates quick adjustment of stock prices to bad news compared to good news. Conversely, the speed of adjustment for Indian and South African stock markets is higher for positive shocks, while the relationship between the stock markets pair of Russia and South Africa is linear. The results of asymmetric error correction model (AECM) reveal evidence of bidirectional causality between China-India, India-South Africa and South Africa-Russia, while unidirectional causality runs from the Indian to Brazilian stock market. Thus, we can safely conclude that the Indian stock market has long-run and short-run relationships with most of the other stock markets. This suggests that investors should pay attention to the Indian stock market when investing in BRICS stock markets.
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Articles in the same Issue
- Frontmatter
- Research Articles
- Forecasting Japanese inflation with a news-based leading indicator of economic activities
- Air pollution, mortality, at-risk population, new entry and life expectancy of the frail elderly in three U.S. cities
- Fast maximum likelihood estimation of parameters for square root and Bessel processes
- A monitoring procedure for detecting structural breaks in factor copula models
- Construction of leading economic index for recession prediction using vine copulas
- Financial integration in emerging economies: an application of threshold cointegration
- When is discretionary fiscal policy effective?
Articles in the same Issue
- Frontmatter
- Research Articles
- Forecasting Japanese inflation with a news-based leading indicator of economic activities
- Air pollution, mortality, at-risk population, new entry and life expectancy of the frail elderly in three U.S. cities
- Fast maximum likelihood estimation of parameters for square root and Bessel processes
- A monitoring procedure for detecting structural breaks in factor copula models
- Construction of leading economic index for recession prediction using vine copulas
- Financial integration in emerging economies: an application of threshold cointegration
- When is discretionary fiscal policy effective?