Global Stock Markets Development and Integration: with Special Reference to BRIC Countries

Krishna Chittedi

MPRA Paper from University Library of Munich, Germany

Abstract: In a country like India where the stock market is undergoing significant transformation with liberalization measures, and the analysis of the nature of integration with other developed and emerging markets would not only give an idea of the possible gains to be reaped out of portfolio diversification from Indian market, but may also provide some indication of the vulnerability of the country’s stock market in case of a regional financial crisis and consequent reversal of capital flows from the region. In the context the study examined the integration of the stock market among the BRIC (Brazil, Russia, India and China) economies in general and their integration with the developed countries stock markets such as US, UK and Japan, which can be analyzed by using the Granger causality, Johansen co integration and Error correction Mechanism methodology, based on daily data for the period January1998- Aug 2009. The results of co integration shows co integration relationship found between BRIC countries and Developed countries namely USA, UK and Japan. The results of Error correction model reveal that Sensex, Nikki225, moscowtimes, FTSE 100, and Bovespa are significant. It implies that these markets share the forces of short run adjustment to long run equilibrium.

Keywords: Stock Market integration; Johansen Julius co integration test; ECM; Engel Granger Casualty test; emerging countries; developed countries (search for similar items in EconPapers)
JEL-codes: F30 G15 (search for similar items in EconPapers)
Date: 2009-03-08, Revised 2009-09-06
New Economics Papers: this item is included in nep-cwa
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/18602/1/MPRA_paper_18602.pdf original version (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:pra:mprapa:18602

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().