DYNAMIC LINKAGES AND INTEGRATION AMONG FIVE EMERGING BRICS MARKETS: PRE- AND POST-BRICS PERIOD ANALYSIS

Amit Kumar Singh (), Rohit Kumar Shrivastav and Amiya Kumar Mohapatra ()
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Amit Kumar Singh: Department of Commerce, Delhi School of Economics University of Delhi, Delhi, India
Rohit Kumar Shrivastav: Department of Commerce, Dr. Bhim Rao Ambedkar College, University of Delhi, Delhi, India
Amiya Kumar Mohapatra: FOSTIIMA Business School, New Delhi, India

Annals of Financial Economics (AFE), 2022, vol. 17, issue 03, 1-36

Abstract: This study aims to explore dynamic linkages and integration among emerging markets of BRICS, especially comparing the pre- and post-BRICS formation period behaviors and further comment upon the portfolio diversification opportunities available for global investors. Weekly closing indices of BRICS stock markets for the period 2000–2020 have been taken. Considering BRICS formation year, total period is divided into two sub-periods, pre- and post-BRICS periods. Short-run relationship has been measured through Granger causality, VAR, IRF and VDC. For long-run co-movement, Johansen co-integration is applied. To explain asymmetrical response of the market, E-GARCH Model is applied. Both Granger causality and VAR model confirm presence of short-run inter-linkages among BRICS during post-BRICS period. Johansen co-integration test also establishes more co-integrating equations during post-BRICS. E-GARCH result indicates a strong presence of asymmetry effect in the volatility of BRICS stock returns during post-BRICS and concludes the presence of leverage effect in all the BRICS markets. By integrating the findings with relevant literature, authors propose a framework that establishes BRICS formation, trade agreements and collaboration with each other has resulted into a strong relationship among BRICS nations during post-BRICS period and hints a little opportunity to global investors for portfolio diversification in short-run but no opportunity in the long-run.

Keywords: BRICS; dynamic inter-linkages; market integration; VAR; E-GARCH (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1142/S201049522250018X

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