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Evolution of emerging bond markets' cointegration: a transition from BRIC to BRICS

Author

Listed:
  • Adefemi A. Obalade
  • Brian Nxumalo
  • Dylan Hoover
  • Grace O. Obalade
  • Paul-Francois Muzindutsi

Abstract

We investigated the evolution of cointegration in the emerging bond markets with a focus on the transition from BRIC (2007:1-2010:11) to BRICS (2010:12-2020:5) bloc. By applying the Autoregressive Distributed Lag Model (ARDL), we found a long-run cointegration among only 3 of 12 and 2 of 20 possible combinations in the BRIC and BRICS pairings, respectively. However, the observed limited cointegration did not hold in reverse order, thereby casting doubt on the existence of any long-run relationship. As a result, we concluded that the leading emerging bond markets are independent and signal improved diversification opportunities in recent time.

Suggested Citation

  • Adefemi A. Obalade & Brian Nxumalo & Dylan Hoover & Grace O. Obalade & Paul-Francois Muzindutsi, 2023. "Evolution of emerging bond markets' cointegration: a transition from BRIC to BRICS," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 17(3/4), pages 223-233.
    • Handle: RePEc:ids:ijtrgm:v:17:y:2023:i:3/4:p:223-233
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