 Analysis of structural linkages and inter-temporal stability in a cross-country BRICS portfolioHarman Arora and Parminder Kaur International Journal of Monetary Economics and Finance, 2019, vol. 12, issue 2, 152-168 Abstract: The paper attempts to evaluate prospects of constructing a successful cross-country portfolio by studying structural linkages and inter-temporal variations in the equity markets. To investigate market interdependence, shortterm capital co-movement was studied using Granger causality. Further, markets were tested for financial contagion and long-run interdependence using the Johansen co-integration test. The time-varying nature of capital markets was also tested through vector auto-regression modelling and impulse response function. The paper offers insights that co-integration amongst subject markets does not exist in long run and each market is mostly affected by price movements in its own market rather than fluctuation in other portfolio country stocks. The research cogently proposes economic feasibility of cross-country equity portfolio given the heterogeneity in markets and also advocates on intertemporal asset allocation strategies like pairs trade, long/short equity, managed futures and derivatives-based hedging. Keywords: BRICS; emerging markets portfolio; co-integration; market interdependence. (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:ijmefi:v:12:y:2019:i:2:p:152-168 Access Statistics for this article More articles in International Journal of Monetary Economics and Finance from Inderscience Enterprises Ltd |
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