Returns dynamics and global integration of BRICS stock markets

Akash Dania and D.K. Malhotra

International Journal of Business and Emerging Markets, 2013, vol. 5, issue 3, 217-233

Abstract: The Brazil, Russia, India, China and South Africa (BRICS) nations are currently among the fastest growing emerging markets. We empirically analyse the BRICS equity market returns' interdependence on the leading global markets of USA, UK, France and Germany. Results from this study suggest that returns of all BRICS nations are interdependent with the returns of USA, UK, France, and Germany, with varying degree and magnitude. By means of GARCH, we also find evidence of volatility spillover from major global markets to BRICS markets. We explain the observed phenomenon of growing influence - albeit with varying effects - of mature global markets on BRICS equity markets due to the nature of growing trade linkages.

Keywords: emerging markets; Brazil; Russia; India; China; South Africa; BRICS; global integration; volatility spillover; vector autoregression; VAR; GARCH. (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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