Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets

Larisa Yarovaya and Marco Chi Keung Lau

Research in International Business and Finance, 2016, vol. 37, issue C, 605-619

Abstract: This paper analyses stock market co-movements around recent crises and explores the international portfolio diversification benefits available for UK investors holding a portfolio in the BRICS and MIST emerging markets. The application of conventional and regime-switch cointegration techniques suggests an absence of diversification benefits. Further evidence from application of a multivariate time-varying asymmetric model (i.e. AG-DCC) suggests that conditional correlation among the stock markets exhibits higher dependency when it is driven by negative shocks to the market. The asymmetric causality test provides supporting evidence of the decoupling hypothesis. The results indicate that the Chinese stock market is the most attractive option for the UK investor.

Keywords: International portfolio diversification; Cointegration analysis with breaks; BRICS; MIST; Asymmetric response (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:37:y:2016:i:c:p:605-619

DOI: 10.1016/j.ribaf.2016.01.023

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