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

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  • Mensi, Walid
  • Hammoudeh, Shawkat
  • Reboredo, Juan Carlos
  • Nguyen, Duc Khuong

Abstract

This paper examines the dependence structure between the emerging stock markets of the BRICS countries and influential global factors. Using the quantile regression approach, our results for the period from September 1997 to September 2013 show that the BRICS stock markets exhibit dependence with the global stock and commodity markets (S&P index, oil, and gold) as well as changes in the U.S. stock market uncertainty (CBOE Volatility Index). This dependence structure is often asymmetric and affected by the onset of the recent global financial crisis. By contrast, the U.S. economic policy uncertainty has no impact on the BRICS stock markets.

Suggested Citation

  • Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Emerging Markets Review, Elsevier, vol. 19(C), pages 1-17.
    • Handle: RePEc:eee:ememar:v:19:y:2014:i:c:p:1-17
    DOI: 10.1016/j.ememar.2014.04.002
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    More about this item

    Keywords

    Asymmetric dependence; Global factors; BRICS; Global financial crisis; Quantile regression;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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