Assessing the readiness of BRICS grouping for mutually beneficial financial integration

Bonga-Bonga, Lumengo

Assessing the readiness of BRICS grouping for mutually beneficial financial integration

MPRA Paper from University Library of Munich, Germany

Abstract: This paper assesses the extent of the transmission of equity market volatility shocks between BRICS (Brazil, Russia, India, China and South Africa) countries to infer the degree of risk sharing and the possibility of a beneficial financial integration between its member countries. The paper makes use of the spillover index methodology suggested by Diebold and Yilmaz (2012) to this end. Nonetheless, the paper extends this methodology by making use of ex ante volatility measures that account for long memory in equity markets. The paper finds asymmetric influences between BRICS countries in relation to the cross transmission of risks. The finding of the paper implies the possibility of unequal benefit that could result from a possible capital market liberalisation between the BRICS countries.

Keywords: BRICS; financial integration; capital market liberalisation; spillover (search for similar items in EconPapers)
JEL-codes: C10 G15 (search for similar items in EconPapers)
Date: 2014-12-10
New Economics Papers: this item is included in nep-cis
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Assessing the readiness of the BRICS grouping for mutually beneficial financial integration (2017)
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