 Stock market integration: evidence from BRIC countriesNaliniprava Tripathy International Journal of Business and Emerging Markets, 2015, vol. 7, issue 3, 286-306 Abstract: This paper examines the dynamic linkage and integration in between BRIC countries' stock market using daily data from January 2000 to May 2014. The study finds that there is a bi-directional causal relationship exist between Indian and Russian stock market, Brazilian and Russian stock market. Further, Chinese stock market is functioning independently and does not have any causal effect to Indian, Russian and Brazilian stock market. The study reports that there is long run equilibrium relationship existing among all BRIC countries stock market. The study concludes that the movements of stock market return are explained by their own shocks rather than the shocks of other BRIC countries stock market return. The study suggests that increase level of integration of BRIC economics necessitates the need for global investors to follow portfolio stock selection strategy and ascertain specific growth areas within these economics before making investment decision. Keywords: causality test; Johansen's co-integration test; vector error correction model; VECM; variance decomposition; stock market integration; stock markets; BRIC countries; investment decisions; India; Brazil; Russia; China. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbema:v:7:y:2015:i:3:p:286-306 Access Statistics for this article More articles in International Journal of Business and Emerging Markets from Inderscience Enterprises Ltd |
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