IIMS Journal of Management Science
Search
1Dr. M. Babu is presently working as Assistant Professor in the Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirappalli, Tamil Nadu. He can be reached at: drbabu@bdu.ac.in
2Mr. C. Hariharan is pursuing M.Phil Research Programme in the Department of Commerce and Financial Studies, Bharathidasan University. He can be reached at: harisraj7791@gmail.com
3Mr. S. Srinivasan is currently pursuing his Doctoral Programme in the Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirappalli, Tamil Nadu, India. He can be reached at: ssrinivasanphd87@gmail.com
The present study proposes to investigate the short- and long-run integrations and linkages of BRICS countries’ stock markets indices, namely, BSE Sensex, FTSE/JSE Top 40 Index, I BOVESPA, RTS Index and SSE Composite, during the study period April 2004–March 2014. Daily prices of sample indices were collected from Yahoo Finance and FTSE Official Website for the analysis. GARCH (1,1) Model, Johansen Co-integration test, Vector Error Correction Model and Granger Causality test were used to study the stock market linkages. The results of Johansen Co-integration test indicated that all sample indices of BRICS stock markets were cointegrated with each other. The Vector Error Correction Model revealed that BSE Sensex did not employ shortrun relationship with other sample indices and RTS Index experienced short-run relation with other sample indices, excluding BSE Sensex during the study period. The study concludes that BRICS indices were engaged in long-run relationships and only RTS Index recorded both short-run and long-run relationships with other sample indices. Hence the global investor could use the opportunity for portfolio diversification, both under long-run and short-run periods in BRICS stock markets.
BRICS countries, GARCH (1,1) Model, Granger causality test, Johansen co-integration test, Vector error correction model
JEL Classification: F15, F21, F36, G15
Dasgupta, R. (2013). BRIC and US integration and dynamic linkages an empirical study for international diversification strategy. Interdisciplinary Journal of Contemporary Research in Business, Vol. 5, No. 7, pp. 536–563.
Dasgupta, R. (2014). Integration and dynamic linkages of the Indian stock market with BRIC – an empirical study. Asian Economic and Financial Review, Vol. 4, No. 6, pp. 715–731.
Fan, K., Lu, Z. and Wang, S. (2009). Dynamic Linkages between the China and International Stock Markets. Asia-Pacific Financial Markets, Vol. 16, pp. 211–230.
Guidi, F. and Ugur, M. (2014). An analysis of South-Eastern European stock markets: evidence on co-integration and portfolio diversification benefits. Journal of International Financial Markets, Institutions and Money, Vol. 30, pp. 119–136.
Jakpar, S., Vejayon, V., Johari, A. and Myint, K.T. (2013). An econometric analysis on the co-movement of stock market volatility between china and ASEAN-5. International Journal of Business and Social Science, Vol. 4, No. 14, pp. 181–197.
Lehkonen, H. (2014). Timescale-dependent stock market co movement: BRICs vs. developed markets. Journal of Empirical Finance, Vol. 28, pp. 90–103.
Pisedtasalasai, A. and Gunasekarage, A. (2007). Causal and dynamic relationships among stock returns, return volatility and trading volume: evidence from emerging markets in South-East Asia. Asia-Pacific Financial Markets, Vol. 14, pp. 277–297.
Subha, M.V. and Nambi, T. (2010). A study on co-integration between Indian and American stock markets. Journal of Contemporary Research in Management, Vol. 7, No. 3, pp. 105–113.
Tripathi, V. and Sethi, S. (2012). Inter-linkages of Indian stock market with advanced emerging markets. AsiaPacific Finance and Accounting Review, Vol. I, No. 1, pp. 34–51.
Venkata, S. (2006). Indian capital market integration with select developed and developing countries. Applied Econometrics and International Development, Vol. 6, No. 2, pp. 227–248.
Liu, T., Shawkat, H., Sari, R. and Mehmet, U. (2013) The dynamics of BRICS’s country risk ratings and domestic stock markets, U.S. stock market and oil price. Mathematics and Computers in Simulation, Vol. 94, pp. 277–294.
Zhang, B., Li, X. and Yu, H. (2013). Has recent financial crisis changed permanently the correlations between BRICS and developed stock markets? North American Journal of Economics and Finance, Vol. 26, pp. 725- 738.
https://in.finance.yahoo.com/intlindices
http://www.world-exchanges.org/home/index.php/statistics/monthly-reports
www.bmfbovespa.com.br/en-us/home.aspx
http://moex.com/en/orders?historicaldata
