The Lead-Lag Effect in BRICS¡¯ Stock Market

Julyerme Matheus Tonin (), Jo?o Ricardo Tonin (), Marina da Silva Cunha () and Jos¨¦ Carlos Bornia ()
Additional contact information
Julyerme Matheus Tonin: Department of Economics, Universidade Estadual de Maring¨¢
Jo?o Ricardo Tonin: Universidade Estadual de Maring¨¢
Marina da Silva Cunha: Universidade Estadual de Maring¨¢
Jos¨¦ Carlos Bornia: Universidade Estadual de Maring¨¢
Authors registered in the RePEc Author Service: João Ricardo Tonin ()

Transnational Corporations Review, 2013, vol. 5, issue 4, 54-66

Abstract: Recent performance of Brazil's stock market contributed to attracting investments from various parts of the globe. This study aims to examine the lead-lag effect between the stock market of the BRICs, from March 2004 until March 2013, using the methodology proposed by Shih Chen and Hsiao (2008). Among the results the research emphasizes,we analyzed that the Brazilian market is leading others stock exchange in periods before and after the financial crisis, which the magnitude of the effect took about two days to be dissipated.

Keywords: Lead-lag effect; impulse response analysis; BRICs; Brazil. (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
http://tnc-online.net/journal/html/?468.html (text/html)

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:oul:tncr09:v:5:y:2013:i:4:p:54-66

Access Statistics for this article

More articles in Transnational Corporations Review from Ottawa United Learning Academy 1568 Merivale Rd. Suite # 618, Ottawa, Ontario, Canada K2G 5Y7.
Bibliographic data for series maintained by Denny Liao ( this e-mail address is bad, please contact ) and Jen Ma ().