Exploring Contemporaneous Correlations Among BRICS Stock Markets

Shalini Talwar
Additional contact information
Shalini Talwar: K.J. Somaiya Institute of Management Studies & Research, India

Economics and Applied Informatics, 2019, issue 3, 51-59

Abstract: In the current paper, the author has used daily closing price data of the selected equity indices of the five BRICS countries from a period of 2010 to 2017 to understand the extent of co-movement among them and to evaluate the existence of portfolio diversification opportunities they present together. Econometric tools have been used to diagnose unidirectional and/or bidirectional causality, long-run co-movement and short-run contemporaneous correlations among these markets. The findings reveal potentially profitable investment prospects. Vigour of the results has been tested in two ways. First, Granger causality and VAR estimates have been retested for a different time horizon using daily data from 2000 to 2007. The second robustness check has been done by evaluating the outcome of VAR by changing the Cholesky ordering for the data from 2010 to 2017.

Keywords: BRICS; Stock markets; Johansen cointegration test; Portfolio diversification; Vector autoregression (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://eia.feaa.ugal.ro/images/eia/2019_3/Shalini_Talwar.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ddj:fseeai:y:2019:i:3:p:51-59

DOI: 10.35219/eai1584040955

Access Statistics for this article

More articles in Economics and Applied Informatics from "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration Contact information at EDIRC.
Bibliographic data for series maintained by Gianina Mihai ().