Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis: Insight From BRIC Countries

Chin-Hong Puah, Rayenda Brahmana and Kai-Hung Wong
Additional contact information
Kai-Hung Wong: Faculty of Economics and Business, Universiti Malaysia Sarawak

Economics and Finance in Indonesia, 2015, vol. 61, 120-130

Abstract: This study revisits the long-run relationships and short-run dynamic causal linkages among BRIC stock market, with the particular attention to the 2008 subprime mortgage crisis. Extending related empirical studies, comparative analyses of pre-crisis, and post-crisis periods were conducted to comprehensively evaluate how stock market integration was affected by financial crises. In general, after employing cointegration test and VAR test, the results reveal the increase of stock market integration in BRICs after the subprime crisis. The evidence also found that China stock market is the most influential among the BRICs, in which China stock market has the ability to Granger cause the other three BRICs member countries. An important implication of our findings is that the degree of integration among countries tends to change over time, especially around periods marked by financial crises.

Keywords: Market Integration; Subprime Mortgage; Financial Crisis; BRIC (search for similar items in EconPapers)
JEL-codes: C32 F15 G15 G21 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://lpem.org/repec/lpe/efijnl/201509.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:lpe:efijnl:201509

Access Statistics for this article

More articles in Economics and Finance in Indonesia from Faculty of Economics and Business, University of Indonesia Contact information at EDIRC.
Bibliographic data for series maintained by Muhammad Halley Yudhistira ( this e-mail address is bad, please contact ).