Has recent financial crisis changed permanently the correlations between BRICS and developed stock markets?

Zhang, Bing; Li, Xindan; H, Yu

doi:10.1016/j.najef.2013.05.003

Cited by 76 publications

(48 citation statements)

References 19 publications

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“…One can also infer from such analysis which asset class/market is the most influential in transmitting volatilities to other domestic asset classes and to other markets in international investing (Liow, 2013). Moreover, the Asian financial crisis of 1997-1999 and the subprime mortgage/global financial crisis of [2007][2008][2009] indicated that volatility spillovers could be widespread across countries during turmoil periods (Yamamoto, 2014;Zhang, Li, & Yu, 2013). Finally, the inclusion of public real estate in this study reflects the increasing important role of this new "asset" class in domestic and international financial markets and reinforces the contribution of our work.…”

Section: Introductionsupporting

confidence: 74%

Volatility spillover dynamics and relationship across G7 financial markets

Liow

2015

The North American Journal of Economics and Finance

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Section: Introductionsupporting

confidence: 74%

Volatility spillover dynamics and relationship across G7 financial markets

Liow

2015

The North American Journal of Economics and Finance

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“…Our results are critically relevant to the former, as timevarying co-movement and dynamic interactions between the markets highlight investors' employment of different active portfolio management strategies. The results show that co-movement between the US and Chinese equity markets is the lowest, so Chinese equity market stocks are a strong investment candidate, for the purpose of enjoying diversification benefits (consistent with Bianconi et al 2013, Zhang et al 2013, Syriopoulos et al 2015.…”

Section: Discussionmentioning

confidence: 83%

Conditional co-movement and dynamic interactions: US and BRIC equity markets

Singh

2017

EKON ANAL

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The present study attempts to capture conditional or time-varying co-movement and dynamic interactions between the US and BRIC (Brazil, Russia, India, and China) equity markets across the sample period 2004 to 2014 by employing diverse econometric models. The sample period is further divided into three different sub-periods concerning the US financial crisis period, viz. pre-crisis, crisis, and post-crisis periods. The vector autoregression-dynamic conditional correlation-multivariate asymmetric generalized autoregressive conditional heteroskedastic [VAR-DCC-MVAGARCH (1.1)] model and Toda-Yamamoto's (1995) Granger causality tests are employed for the purpose of overall analysis in a multivariate framework. The results report the existence of time-varying co-movement between the US and BRIC equity markets, whereby co-movement between the US and Brazilian markets is found to be the highest, followed by the Russian, Indian, and Chinese equity markets. Dynamic interactions are also registered between the respective US/BRIC comovements during different sub-periods. The results have important implications for market participants and policymakers.

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“…With the 2008 financial crisis, the relation between the BRICS economies and the stock market of developed economies has had a change. Correlation relation between India and China has grown stronger (Zhang and Yu, 2013). In the same time, the relation between the USA and BRICS slowly grew stronger (Aloui et al, 2011), and dependence increased.…”

Section: Literature Reviewmentioning

confidence: 98%

The Effects of BRICS and MATIK Counties on world Economy and Cointegration Analysis the Long Term relation With G-7 Growth Rates (1962-2012)

Kargi¹

2014

JEBS

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In this article, long term data is analyzed for the total growth of the world economy and the growth of developed (G7) and of the rapid developing economies. BRICS countries are known countries with their meetings since 2008. Rapidly developing countries such as Mexico, Argentina, Turkey, Indonesia and Korea are defined as MATIKin thisanalysisexceptthecountriesfor BRICS meeting. Especially, the basic hypotheses of this study is that BRICS+MATIK countries whose economic shares slowly increase were compared with G-7 and the global economy, i) Help of BRICS+MATIK economies rapidly increase for the growth rate of world economy: ii)They're the hypotheses that BRICS+MATIK economies are cointegrated with the growth of world economy in long term. In this way, it may be possible that the help of G-7 is compared with the help of BRICS+MATIK economies for the growth of world economy. The study uses the annual data of the 1962-2012 periods. Time series analysis is used to test the hypotheses. The most important finding is that BRICS+MATIK economies affect the growth rate of world economy, and it constantly increases as statistic according to the help of G-7.The result has been acquired that World, G-7, and BRICS+MATIK economies cointegrated in the long term.

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Has recent financial crisis changed permanently the correlations between BRICS and developed stock markets?

Cited by 76 publications

References 19 publications

Volatility spillover dynamics and relationship across G7 financial markets

Volatility spillover dynamics and relationship across G7 financial markets

Conditional co-movement and dynamic interactions: US and BRIC equity markets

The Effects of BRICS and MATIK Counties on world Economy and Cointegration Analysis the Long Term relation With G-7 Growth Rates (1962-2012)

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