Do global factors impact BRICS stock markets? A quantile regression approach

Walid Mensi, Shawkat Hammoudeh, Juan Reboredo and Duc Khuong Nguyen

No 2014-159, Working Papers from Department of Research, Ipag Business School

Abstract: This paper examines the dependence structure between the emerging stock markets of the BRICS countries (Brazil, Russia, India, China and South Africa) and influential global factors (the S&P 500 index, the commodity markets, the global stock market uncert

Keywords: Asymmetric dependence; global factors; BRICS; global financial crisis; quantile regression. (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-cis, nep-cse and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (249)

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