IDEAS home Printed from https://ideas.repec.org/a/ddj/fseeai/y2019i3p51-59.html
   My bibliography  Save this article

Exploring Contemporaneous Correlations Among BRICS Stock Markets

Author

Listed:
  • Shalini TALWAR

    (K.J. Somaiya Institute of Management Studies & Research, India)

Abstract

In the current paper, the author has used daily closing price data of the selected equity indices of the five BRICS countries from a period of 2010 to 2017 to understand the extent of co-movement among them and to evaluate the existence of portfolio diversification opportunities they present together. Econometric tools have been used to diagnose unidirectional and/or bidirectional causality, long-run co-movement and short-run contemporaneous correlations among these markets. The findings reveal potentially profitable investment prospects. Vigour of the results has been tested in two ways. First, Granger causality and VAR estimates have been retested for a different time horizon using daily data from 2000 to 2007. The second robustness check has been done by evaluating the outcome of VAR by changing the Cholesky ordering for the data from 2010 to 2017.

Suggested Citation

  • Shalini TALWAR, 2019. "Exploring Contemporaneous Correlations Among BRICS Stock Markets," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 3, pages 51-59.
    • Handle: RePEc:ddj:fseeai:y:2019:i:3:p:51-59
    DOI: https://doi.org/10.35219/eai1584040955
    as

    Download full text from publisher

    File URL: http://eia.feaa.ugal.ro/images/eia/2019_3/Shalini_Talwar.pdf
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.35219/eai1584040955?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. V G R Chandran & Ramesh Rao, 2009. "Stock Interdependencies: The Case of an Emerging East Asian Economy," The IUP Journal of Applied Economics, IUP Publications, vol. 0(5-6), pages 73-82, September.
    2. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    3. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    4. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    5. Alexandr Èerný & Michal Koblas, 2008. "Stock Market Integration and the Speed of Information Transmission," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(01-02), pages 2-20, January.
    6. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    7. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mohammad Jaforullah & Alan King, 2015. "is New Zealand's economy vulnerable to world oil market shocks?," Working Papers 1503, University of Otago, Department of Economics, revised Mar 2015.
    2. Dagher, Leila & El Hariri, Sadika, 2013. "The impact of global oil price shocks on the Lebanese stock market," Energy, Elsevier, vol. 63(C), pages 366-374.
    3. Vanegas Sr., Manuel & Croes, Robertico, 2007. "Tourism, Economic Expansion and Poverty in Nicaragua: Investigating Cointegration and Causal Relations," Staff Papers 7306, University of Minnesota, Department of Applied Economics.
    4. Tung Liu & Lee C. Spector, 2005. "Dynamic employment adjustments over business cycles," Empirical Economics, Springer, vol. 30(1), pages 151-169, January.
    5. Lukasz Lach, 2010. "Application of Bootstrap Methods in Investigation of Size of the Granger Causality Test for Integrated VAR Systems," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 8(2), pages 167-186.
    6. Walid M.A. Ahmed, 2012. "On the interdependence structure of market sector indices: the case of Qatar Exchange," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 11(4), pages 468-488, October.
    7. Paul Gallimore & J. Andrew Hansz & Wikrom Prombutr & Ying Zhang, 2014. "Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors," International Real Estate Review, Global Social Science Institute, vol. 17(3), pages 359-394.
    8. Nafeesa Yunus & Peggy Swanson, 2007. "Modelling Linkages between US and Asia‐Pacific Securitized Property Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(2), pages 95-122.
    9. Jacobo Campo & Henry Mendoza, 2018. "Public expenditure and economic growth: a regional analysis for Colombia, 1984-2012," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 88, pages 77-108, Enero - J.
    10. Abdul Karim, Zulkefly & Jusoh, Mansor & Khalid, Norlin, 2008. "Halaju wang di Malaysia : bukti empirik [The velocity of money in Malaysia : empirical evidence]," MPRA Paper 26966, University Library of Munich, Germany, revised 19 Jun 2008.
    11. James Davidson, 2013. "Cointegration and error correction," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 7, pages 165-188, Edward Elgar Publishing.
    12. Stephan B. Bruns, Christian Gross and David I. Stern, 2014. "Is There Really Granger Causality Between Energy Use and Output?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
    13. Drakos, Konstantinos & Kutan, Ali M., 2001. "Opposites attract: The case of Greek and Turkish financial markets," ZEI Working Papers B 06-2001, University of Bonn, ZEI - Center for European Integration Studies.
    14. Zou, Gaolu & Chau, K.W., 2006. "Short- and long-run effects between oil consumption and economic growth in China," Energy Policy, Elsevier, vol. 34(18), pages 3644-3655, December.
    15. Noor Ghazali & Soo-Wah Low, 2002. "The expectation hypothesis in emerging financial markets: the case of Malaysia," Applied Economics, Taylor & Francis Journals, vol. 34(9), pages 1147-1156.
    16. Sayef Bakari, 2017. "The Impact of Vegetables Exports on Economic Growth in Tunisia," Economic Research Guardian, Mutascu Publishing, vol. 7(2), pages 72-87, December.
    17. ŞENTÜRK, İsmail & Ali, Amjad, 2019. "Socioeconomic Determinants of Gender Specific Life Expectancy in Turkey: A Time Series Analysis," MPRA Paper 97815, University Library of Munich, Germany.
    18. Mouawiya Al-Awad & Nasri Harb, 2005. "Financial development and economic growth in the Middle East," Applied Financial Economics, Taylor & Francis Journals, vol. 15(15), pages 1041-1051.
    19. Paul Gallimore & J. Andrew Hansz & Wikrom Prombutr & Ying Zhang, 2014. "Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors," International Real Estate Review, Asian Real Estate Society, vol. 17(3), pages 359-394.
    20. Campo, Jacobo & Mendoza, Henry, 2018. "Gasto público y crecimiento económico: un análisis regional para Colombia, 1984-2012," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 88, pages 77-108, January.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ddj:fseeai:y:2019:i:3:p:51-59. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gianina Mihai (email available below). General contact details of provider: https://edirc.repec.org/data/fegalro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.