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Global Stock Markets Development and Integration: with Special Reference to BRIC Countries

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  • Chittedi, Krishna Reddy

Abstract

In a country like India where the stock market is undergoing significant transformation with liberalization measures, and the analysis of the nature of integration with other developed and emerging markets would not only give an idea of the possible gains to be reaped out of portfolio diversification from Indian market, but may also provide some indication of the vulnerability of the country’s stock market in case of a regional financial crisis and consequent reversal of capital flows from the region. In the context the study examined the integration of the stock market among the BRIC (Brazil, Russia, India and China) economies in general and their integration with the developed countries stock markets such as US, UK and Japan, which can be analyzed by using the Granger causality, Johansen co integration and Error correction Mechanism methodology, based on daily data for the period January1998- Aug 2009. The results of co integration shows co integration relationship found between BRIC countries and Developed countries namely USA, UK and Japan. The results of Error correction model reveal that Sensex, Nikki225, moscowtimes, FTSE 100, and Bovespa are significant. It implies that these markets share the forces of short run adjustment to long run equilibrium.

Suggested Citation

  • Chittedi, Krishna Reddy, 2009. "Global Stock Markets Development and Integration: with Special Reference to BRIC Countries," MPRA Paper 18602, University Library of Munich, Germany, revised 06 Sep 2009.
    • Handle: RePEc:pra:mprapa:18602
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    References listed on IDEAS

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    1. Chowdhury, Abdur R., 1994. "Stock market interdependencies: Evidence from the asian NIEs," Journal of Macroeconomics, Elsevier, vol. 16(4), pages 629-651.
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    3. Scheicher, Martin, 2001. "The Comovements of Stock Markets in Hungary, Poland and the Czech Republic," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 27-39, January.
    4. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
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    Cited by:

    1. Wait Charles & Ruzive Tafadzwa & le Roux Pierre, 2017. "The Influence of Financial Market Development on Economic Growth in BRICS Countries," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 53(1), pages 7-24, March.
    2. Marcelo Bianconi & Joe A. Yoshino & Mariana O. Machado de Sousa, 2011. "BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets," Discussion Papers Series, Department of Economics, Tufts University 0764, Department of Economics, Tufts University.
    3. A., Rjumohan, 2019. "Stock Markets: An Overview and A Literature Review," MPRA Paper 101855, University Library of Munich, Germany.
    4. Ranjan Dasgupta, 2016. "International Portfolio Diversification - Role of Emerging Economies-US Integration and Dynamic Linkages: An Empirical Study," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(6), pages 100-100, June.
    5. J. Vineesh Prakash & D. K. Nauriyal & Sandeep Kaur, 2017. "Assessing Financial Integration of BRICS Equity Markets: An Empirical Analysis," Emerging Economy Studies, International Management Institute, vol. 3(2), pages 127-138, November.
    6. Chittedi, Krishnareddy, 2011. "Does oil price matter for Indian stock markets?," MPRA Paper 35334, University Library of Munich, Germany, revised 01 Dec 2011.
    7. Chin-Hong Puah & Rayenda Khresna Brahmana & Kai-Hung Wong, 2015. "Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis: Insight From BRIC Countries," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 61, pages 120-130, August.
    8. Dr. Ranjan Dasgupta, 2014. "Integration and Dynamic Linkages of the Indian Stock Market with Bric - An Empirical Study," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(6), pages 715-731, June.
    9. Rajneesh Prakash Verma & Poonam Rani, 2016. "Emerging Stock Market Integration in the Post Financial Crises Era: An Empirical Analysis of the Short-term and Long-term Linkages," Emerging Economy Studies, International Management Institute, vol. 2(1), pages 91-109, May.
    10. Saha, Malayendu & Bhunia, Amalendu, 2012. "How far India has gone down the road towards financial integration with US since subprime crisis? An Econometric Analysis," MPRA Paper 38731, University Library of Munich, Germany.
    11. Souhir Chlibi & Fredj Jawadi & Mohamed Sellami, 2016. "Analyzing Heterogeneous Stock Price Comovements Through Hybrid Approaches," Open Economies Review, Springer, vol. 27(3), pages 541-559, July.

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    More about this item

    Keywords

    Stock Market integration; Johansen Julius co integration test; ECM; Engel Granger Casualty test; emerging countries; developed countries;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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