Do global factors impact BRICS stock markets? A quantile regression approach

Walid Mensi, Shawkat Hammoudeh, Juan Reboredo and Duc Khuong Nguyen

Emerging Markets Review, 2014, vol. 19, issue C, 1-17

Abstract: This paper examines the dependence structure between the emerging stock markets of the BRICS countries and influential global factors. Using the quantile regression approach, our results for the period from September 1997 to September 2013 show that the BRICS stock markets exhibit dependence with the global stock and commodity markets (S&P index, oil, and gold) as well as changes in the U.S. stock market uncertainty (CBOE Volatility Index). This dependence structure is often asymmetric and affected by the onset of the recent global financial crisis. By contrast, the U.S. economic policy uncertainty has no impact on the BRICS stock markets.

Keywords: Asymmetric dependence; Global factors; BRICS; Global financial crisis; Quantile regression (search for similar items in EconPapers)
JEL-codes: F30 G14 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (235)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:19:y:2014:i:c:p:1-17

DOI: 10.1016/j.ememar.2014.04.002

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