Interlinkages and Diversification Opportunities Among Emerging Bond Markets: BRIC and BRICS Comparison

Adefemi A. Obalade, Tsepang Moeti, Vijen Moodley, Yusuf Randeree and Paul-Francois Muzindutsi

A chapter in Environmental, Social, and Governance Perspectives on Economic Development in Asia, 2021, vol. 29A, pp 131-149 from Emerald Group Publishing Limited

Abstract: The study evaluated the interlinkages and diversification opportunities in the context of emerging bond markets from 2007:1 to 2020:5, using the vector autoregressive (VAR) model and sub‐period analyses to compare BRIC (2007:1–2010:11) and BRICS (2010:12–2020:5) regimes. As indicated by the breaking unit‐root test, dummies for the global financial crisis and COVID‐19 were incorporated in the analyses. VAR results showed that the Indian bond market responds positively to the previous change in the Chinese bond market during the BRIC era while BRICS bond markets are mostly uninfluenced by prior behavior patterns of one another. These suggested that the diversification opportunity has been increased following the admission of South Africa to the league. In addition, variance decomposition and impulse response provide proofs to suggest that BRICS bond markets are more exogenous and independent compared to what is obtained during the BRIC period. Consequently, the authors concluded that the BRICS bloc has provided greater diversification opportunities for emerging markets’ bondholders in the recent past.

Keywords: Bond market; diversification; BRIC; BRICS; VAR model; interdependence; F21; G11; G12; G14; G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eme:isetez:s1571-03862021000029a023

DOI: 10.1108/S1571-03862021000029A023

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