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Dynamic Linkages And Integration Among Five Emerging Brics Markets: Pre- And Post-Brics Period Analysis

Author

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  • AMIT KUMAR SINGH

    (Department of Commerce, Delhi School of Economics University of Delhi, Delhi, India)

  • ROHIT KUMAR SHRIVASTAV

    (Department of Commerce, Dr. Bhim Rao Ambedkar College, University of Delhi, Delhi, India)

  • AMIYA KUMAR MOHAPATRA

    (FOSTIIMA Business School, New Delhi, India)

Abstract

This study aims to explore dynamic linkages and integration among emerging markets of BRICS, especially comparing the pre- and post-BRICS formation period behaviors and further comment upon the portfolio diversification opportunities available for global investors. Weekly closing indices of BRICS stock markets for the period 2000–2020 have been taken. Considering BRICS formation year, total period is divided into two sub-periods, pre- and post-BRICS periods. Short-run relationship has been measured through Granger causality, VAR, IRF and VDC. For long-run co-movement, Johansen co-integration is applied. To explain asymmetrical response of the market, E-GARCH Model is applied. Both Granger causality and VAR model confirm presence of short-run inter-linkages among BRICS during post-BRICS period. Johansen co-integration test also establishes more co-integrating equations during post-BRICS. E-GARCH result indicates a strong presence of asymmetry effect in the volatility of BRICS stock returns during post-BRICS and concludes the presence of leverage effect in all the BRICS markets. By integrating the findings with relevant literature, authors propose a framework that establishes BRICS formation, trade agreements and collaboration with each other has resulted into a strong relationship among BRICS nations during post-BRICS period and hints a little opportunity to global investors for portfolio diversification in short-run but no opportunity in the long-run.

Suggested Citation

  • Amit Kumar Singh & Rohit Kumar Shrivastav & Amiya Kumar Mohapatra, 2022. "Dynamic Linkages And Integration Among Five Emerging Brics Markets: Pre- And Post-Brics Period Analysis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-36, September.
    • Handle: RePEc:wsi:afexxx:v:17:y:2022:i:03:n:s201049522250018x
    DOI: 10.1142/S201049522250018X
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    Citations

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    Cited by:

    1. Chafic Saliba & Panteha Farmanesh & Seyed Alireza Athari, 2023. "Does country risk impact the banking sectors’ non-performing loans? Evidence from BRICS emerging economies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-30, December.
    2. Shu-kam LEE & Paul Kwok-ching SHUM & Hugo Hin-to LEE & Kai-yin WOO, 2023. "Purchasing Power Parity Between China and Selected BRI Countries in Asia," Advances in Decision Sciences, Asia University, Taiwan, vol. 27(3), pages 86-108, September.
    3. Micaela Naledi Monyela & Charles Shaaba Saba, 2024. "Trade openness, economic growth and economic development nexus in South Africa: a pre- and post-BRICS analysis," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-18, December.
    4. Wei Wang & Haibo Wang, 2024. "Interconnected Markets: Exploring the Dynamic Relationship Between BRICS Stock Markets and Cryptocurrency," Papers 2406.07641, arXiv.org.

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