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

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

Abstract

This paper examines the dependence structure between the emerging stock markets of the BRICS countries (Brazil, Russia, India, China and South Africa) and influential global factors (the S&P 500 index, the commodity markets, the global stock market uncert

Suggested Citation

  • Walid Mensi & Shawkat Hammoudeh & Juan Carlos Reboredo & Duc Khuong Nguyen, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Working Papers 2014-159, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-159
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    More about this item

    Keywords

    Asymmetric dependence; global factors; BRICS; global financial crisis; quantile regression.;
    All these keywords.

    JEL classification:

    • 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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    This paper has been announced in the following NEP Reports:

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