Lead-Lag Effect in the Stock Market of BRICS

Julyerme Matheus Tonin, João Ricardo Tonin, Marina da Silva Cunha and José Carlos Bornia

EconStor Open Access Articles and Book Chapters, 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 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:espost:342688

DOI: 10.1080/19186444.2013.11658372

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