Empirical Analysis of the Stock Markets of BRICS Economies

Tanuja Puri

Articles 34th Edition of DTR Oct 2020 – Mar 2021

Empirical Analysis of the Stock Markets of BRICS Economies

Authors

TA

Tanuja Puri

Assistant Professor, Delhi Institute of Advanced Studies, Delhi, India.

1 Views

0 Downloads

Published 2021-03-30

Pages 46-53

Abstract

Developing an understanding of the relationship amongst the stock markets of the five emerging economies of the ever so growing financially integrated world has immense significance. BRICS the group of nations has the capacity to change the business environment of the world as they are highly financially integrated. The primary objective of this paper is to evaluate the integration among BRICS nations during the past 5 years (1st April 2014- Ist April 2019) by analyzing monthly price histories of BOVESPA Index, MOEX Russia Index, BSE Sensex, SSE Composite Index and JSE Index for Brazil, Russia, India, China and South Africa respectively. Descriptive statistics, correlation, ADF unit root test and Johansen Co-integration test have been applied on the data. Since BRICS appears to have a massive financial influence in this financially integrated world, the paper also establishes a good degree of relationship amongst the stock markets of these economies thereby implying the need for the foreign institutional investors to follow a diversified portfolio strategy and study the specific growth areas in these economies in order to take a good investment decision.

Keywords

BRICS Stock markets Descriptive statistics correlation ADF test Co-integration

References

i. Abas, M., (2009). Analysis of stock market linkages: Chinese, Indian and major markets. University of Malaya Report, pp: 1–94.
ii. Agenor, P.R. (2003). Benefits and Costs of International Financial Integration: Theory and Facts. World Economy, Vol. 26, 1089–1118.
iii. Al-Mohamad, S., Rashid, A., Bakry, W., Jreisat, A., & Vo, X. V. (2020). The impact of BRICS formation on portfolio diversification: Empirical evidence from pre- and post-formation eras. Cogent Economics & Finance, 8(1), 1747890.
iv. Allimuthu, S. (2019). Integration of BRICS stock markets: An empirical study. ZENITH International Journal of Multidisciplinary Research, 9(4), 267–275.
v. An, L., & Brown, D. (2010). Equity Market Integration between the US and BRIC Countries: Evidence from Unit Root and Cointegration test. Research Journal of International Studies, 16, 15–24.
vi. Anbarasu, J. & Selvaraju, A. (2015). A Study on Share Price Movement in BRICS’ Stock Exchanges. International Journal of Trade and Global Business Perspectives, 4, 1797–1805.
vii. Bora, A., Mandaci, P. E., Kopurlu, B. S., & Ersener, B. (2009). Behaviour of Emerging Stock Markets in the Global Financial Meltdown: Evidence from BRICA. African Journal of Business Management, 3(7), 396–404.
viii. Bhar, R., & Nikolova, E. (2009). Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework. Global Finance Journal, 19(3), 203–218.
ix. Chittedi, K. R. (2009). Global stock market development and integration: With special reference to BRIC countries. International Review of Applied Financial Issues and Economics, 2(1), 3–21.
x. Dahir, A. M., Mahat, F., & Bakar, N. H., & Bany-Ariffin, A. N. (2018). Revisiting the dynamic relationship between exchange rates and stock prices in BRICS Countries: A wavelet analysis. Borsa Istanbul Review, 18(2), 101–113.
xi. Gupta, R. (2014). Dynamic interrelationship between indices of BRICS economies. International Journal of Multidisciplinary and Current Research, 2321–3124.
xii. Kishor, N., & Singh, R. (2017). Contagion Effect among the BRICS Stock Market Indices. Journal of Poverty, Investment and Development, 31.
xiii. Lima, R. N. (2019). Sectoral dynamics of financial co-integration between BRICS and developed stock markets (Doctoral dissertation, Faculty of Commerce).
xiv. Mohanasundaram, T., & Karthikeyan, P. (2015). Co-integration and stock market interdependence: Evidence from South Africa, India and the USA. South African Journal of Economic and Management Sciences, 18(4), 475–485.
xv. Mroua, M. (2019). Causality and Dynamic Relationships between Exchange Rate and Stock Market Indices in BRICS Countries: Panel GMM and ARDL Analyses. Journal of Economics Finance and Administrative Science, Forthcoming.
xvi. Nashier, T. (2015). Financial integration between BRICS and developed stock markets. International Journal of Business and Management Invention, 4(1), 65–71.
xvii. Nass, A. B., Cunado, J., Demirer, R., & Gupta, R. (2017). Country Risk Ratings and Stock Market Returns in BRICS Countries: A Nonlinear Dynamic Approach.
xviii. Ouattara, B. S. (2017). Re-examining stock market integration among BRICS countries. Eurasian Journal of Economics and Finance, 5(3), 109–132.
xix. Panda, P., & Thiripalraju, M. (2018). Return and volatility spillovers among stock markets: BRICS countries experience. Afro-Asian Journal of Finance and Accounting, 8(2), 148–166.
xx. Shachmurove, Y. (2006). Dynamic linkages among the stock exchanges of the emerging tigers of the twenty first century. International Journal of Business, 11(3), 319.
xxi. Sharma, G. D., M. Mahendru and S. Singh (2013). Are the stock exchanges of emerging economies interlinked? Evidence from BRICS. Indian Journal of Finance, 7(1), 26–37.
xxii. Tripathy, N. (2017). Do BRIC countries stock market volatility move together? An empirical analysis using multivariate GARCH models. International Journal of Business and Emerging Markets, 9(2), 104–123.

How to Cite

Tanuja Puri . (2021). Empirical Analysis of the Stock Markets of BRICS Economies. DIAS Technology Review, 17(2), 46-53.

About This Journal

DIA

DIAS Technology Review

Published by Journalskart

ISSN 0972-9658

✓ Citation copied to clipboard

[1] i. Abas, M., (2009). Analysis of stock market linkages: Chinese, Indian and major markets. University of Malaya Report, pp: 1–94.

[2] ii. Agenor, P.R. (2003). Benefits and Costs of International Financial Integration: Theory and Facts. World Economy, Vol. 26, 1089–1118.

[3] iii. Al-Mohamad, S., Rashid, A., Bakry, W., Jreisat, A., & Vo, X. V. (2020). The impact of BRICS formation on portfolio diversification: Empirical evidence from pre- and post-formation eras. Cogent Economics & Finance, 8(1), 1747890.

[4] iv. Allimuthu, S. (2019). Integration of BRICS stock markets: An empirical study. ZENITH International Journal of Multidisciplinary Research, 9(4), 267–275.

[5] v. An, L., & Brown, D. (2010). Equity Market Integration between the US and BRIC Countries: Evidence from Unit Root and Cointegration test. Research Journal of International Studies, 16, 15–24.

[6] vi. Anbarasu, J. & Selvaraju, A. (2015). A Study on Share Price Movement in BRICS’ Stock Exchanges. International Journal of Trade and Global Business Perspectives, 4, 1797–1805.

[7] vii. Bora, A., Mandaci, P. E., Kopurlu, B. S., & Ersener, B. (2009). Behaviour of Emerging Stock Markets in the Global Financial Meltdown: Evidence from BRICA. African Journal of Business Management, 3(7), 396–404.

[8] viii. Bhar, R., & Nikolova, E. (2009). Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework. Global Finance Journal, 19(3), 203–218.

[9] ix. Chittedi, K. R. (2009). Global stock market development and integration: With special reference to BRIC countries. International Review of Applied Financial Issues and Economics, 2(1), 3–21.

[10] x. Dahir, A. M., Mahat, F., & Bakar, N. H., & Bany-Ariffin, A. N. (2018). Revisiting the dynamic relationship between exchange rates and stock prices in BRICS Countries: A wavelet analysis. Borsa Istanbul Review, 18(2), 101–113.

[11] xi. Gupta, R. (2014). Dynamic interrelationship between indices of BRICS economies. International Journal of Multidisciplinary and Current Research, 2321–3124.

[12] xii. Kishor, N., & Singh, R. (2017). Contagion Effect among the BRICS Stock Market Indices. Journal of Poverty, Investment and Development, 31.

[13] xiii. Lima, R. N. (2019). Sectoral dynamics of financial co-integration between BRICS and developed stock markets (Doctoral dissertation, Faculty of Commerce).

[14] xiv. Mohanasundaram, T., & Karthikeyan, P. (2015). Co-integration and stock market interdependence: Evidence from South Africa, India and the USA. South African Journal of Economic and Management Sciences, 18(4), 475–485.

[15] xv. Mroua, M. (2019). Causality and Dynamic Relationships between Exchange Rate and Stock Market Indices in BRICS Countries: Panel GMM and ARDL Analyses. Journal of Economics Finance and Administrative Science, Forthcoming.

[16] xvi. Nashier, T. (2015). Financial integration between BRICS and developed stock markets. International Journal of Business and Management Invention, 4(1), 65–71.

[17] xvii. Nass, A. B., Cunado, J., Demirer, R., & Gupta, R. (2017). Country Risk Ratings and Stock Market Returns in BRICS Countries: A Nonlinear Dynamic Approach.

[18] xviii. Ouattara, B. S. (2017). Re-examining stock market integration among BRICS countries. Eurasian Journal of Economics and Finance, 5(3), 109–132.

[19] xix. Panda, P., & Thiripalraju, M. (2018). Return and volatility spillovers among stock markets: BRICS countries experience. Afro-Asian Journal of Finance and Accounting, 8(2), 148–166.

[20] xx. Shachmurove, Y. (2006). Dynamic linkages among the stock exchanges of the emerging tigers of the twenty first century. International Journal of Business, 11(3), 319.

[21] xxi. Sharma, G. D., M. Mahendru and S. Singh (2013). Are the stock exchanges of emerging economies interlinked? Evidence from BRICS. Indian Journal of Finance, 7(1), 26–37.

[22] xxii. Tripathy, N. (2017). Do BRIC countries stock market volatility move together? An empirical analysis using multivariate GARCH models. International Journal of Business and Emerging Markets, 9(2), 104–123.