Evolution of emerging bond markets' cointegration: a transition from BRIC to BRICS

Adefemi A. Obalade, Brian Nxumalo, Dylan Hoover, Grace O. Obalade and Paul-Francois Muzindutsi

International Journal of Trade and Global Markets, 2023, vol. 17, issue 3/4, 223-233

Abstract: We investigated the evolution of cointegration in the emerging bond markets with a focus on the transition from BRIC (2007:1-2010:11) to BRICS (2010:12-2020:5) bloc. By applying the Autoregressive Distributed Lag Model (ARDL), we found a long-run cointegration among only 3 of 12 and 2 of 20 possible combinations in the BRIC and BRICS pairings, respectively. However, the observed limited cointegration did not hold in reverse order, thereby casting doubt on the existence of any long-run relationship. As a result, we concluded that the leading emerging bond markets are independent and signal improved diversification opportunities in recent time.

Keywords: emerging markets; bond; cointegration; causality; diversification. (search for similar items in EconPapers)
Date: 2023
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