Inter-linkages and causal relationships between US and BRIC equity markets: An empirical investigation

Singh, Amanjot; Singh, Manjit

doi:10.1016/j.aebj.2016.10.003

Cited by 18 publications

(11 citation statements)

References 50 publications

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“…The finding that the US′ stock market can help in predicting the behaviour of the other markets (Nigeria and UK) than any other market is similar to the finding of Singh and Singh (2016) . In their case, investigating the integration between the US and the BRIC (Brazil, Russia, India and China) stock markets, they found that the US stock market, before the global financial crisis, can help in predicting the behaviour of the Russian and Indian stock markets.…”

Section: Presentation Of Resultssupporting

confidence: 68%

“…Evidence of the dominance of the Indian stock market among the BRIC is also revealed. Singh and Singh (2016) empirically investigated linkages between the US equity market and those of Brazil, Russia, India and China (BRIC) pre, during and after the crisis periods from 2004 to 2014 using the Johansen cointegration, Gregory-Hansen cointegration, Toda and Yamamoto causality test, VAR, the Vector Error Correction Model (VECM), IRF and the VDA. Findings from the study reveal the varying level of comovements between the US market and all the BRIC markets in the various sub-period analysis.…”

Section: Empirical Literaturementioning

confidence: 99%

“… 2 Singh and Singh (2016) noted that the exact nature of Toda-Yamamoto's Granger causality test as it relates to its short- or long-run instrument is under debate. They however noted that it is reasonable to consider this test in the light of the short-run when considering the lagged impact of variables and the values of the daily indices when investigating dynamic linkages between markets.…”

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confidence: 99%

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Dynamic links between the Nigerian equity market and those of selected regional and developed countries

Obadiaru

Obasaju

Omankhanlen

et al. 2020

Heliyon

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The dynamic and growing interdependent nature of equity markets across the world has elicited the interest of investors and researchers alike. This study examines the dynamic interactions between the Nigerian stock market and selected regional and global equity markets spanning eight years, from 2011 to 2018, using daily index data. The generalised impulse response function was used alongside the Toda and Yamamoto Granger causality test to investigate the short-run dynamic linkages, while the normalized Johansen vector error correction estimates served to assess the long-run linkages given the existence of cointegration. Findings from the study revealed that the UK and the Ghanaian stock markets exert significant long-run impact on the Nigerian stock market, while vagaries from the US tend to exert more influence on the Nigerian stock market in the short-run. The study recommends that more regional efforts are needed to enhance the integration of stock markets in West Africa. The findings have implications for national and regional policymakers as well as portfolio investors.

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Section: Presentation Of Resultssupporting

confidence: 68%

Section: Empirical Literaturementioning

confidence: 99%

mentioning

confidence: 99%

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Dynamic links between the Nigerian equity market and those of selected regional and developed countries

Obadiaru

Obasaju

Omankhanlen

et al. 2020

Heliyon

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“…Due to its strong effect on both Russian and Brazilian stock markets, the researcher also determined that the Indian stock market was top among BRICS stock markets. Singh and Singh (2016) used data from 1 st January (2004) to 30 th November (2014) to determine the link between the US and BRIC stock markets throughout the pre-and post-crisis periods, and discovered long-run causal movement during both periods. Prakash et al (2017) used monthly data for 9 years from 2005 to demonstrate a link between the BRICS stock market but no causation was found.…”

Section: Literature Review and Gap Analysismentioning

confidence: 99%

Market Volatility and Causal Relationship among BRICS Stock Markets

Ganguly¹,

Bhunia²

2021

OJC

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This study examines the stock market volatility and causal connection among BRICS stock markets. This research uses data from November 18, 2019 to February 1, 2021. This study employed descriptive statistics, correlation analysis, ADF unit-root tests, GARCH models, and the VECM test. The Jarque-Bera statistics' likelihood shows that certain stock markets are not regularly distributed. During the outbreak of COVID-19 pandemic, correlation studies revealed that all BRICS stock markets were favourably associated with one another. The GARCH test results substantiates that the selected stock markets were extremely volatile throughout the research period other than South Africa stock market. The research also indicates that the BRICS markets have no leverage impact. The findings of the VECM tests divulge that while there is no noteworthy long-term causality among BRICS stock market, however, there exist a short-run causality between, other than Brazilian stock market.

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“…In addition, Kumar (2013) analyses the volatility spillovers between exchange rates and stock price in the IBSA nations implementing the model of Diebold and Yilmaz and finds that there is a bidirectional contribution between stock and foreign exchange market in terms of both returns and volatility spillovers. The volatility spillover measure of Diebold and Yilmaz has been widely used in the literature; for example, by Fujiwara and Takahashi (2012), Fengler and Gisler (2015), Singh and Singh (2016) and Barunik et al (2016).…”

Section: Us Stock Indicesmentioning

confidence: 99%

Asymmetric and nonlinear inter-relations of US stock indices

Vortelinos

Γκίλλας

Syriopoulos

et al. 2017

IJMF

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The purpose of this paper is to examine the inter-relations among the US stock indices. Data of nine US stock indices spanning a period of sixteen years (2000-2015) are employed for this purpose. Asymmetries are examined via an error correction model (ECM). Non-linear inter-relations are researched via Breitung’s nonlinear cointegration, a M-G nonlinear causality model, shocks to the forecast error variance, a shock spillover index and an asymmetric VAR-GARCH (VAR-ABEKK) approach. The inter-relations are signiﬁcant. Our results are robust across all types of inter-relations. They are highest in the Lehman Brothers sub-period. Higher stability after the EU debt crisis, enhances independence and growth for the US stock indices. To the best of our knowledge, this is the ﬁrst study to examine the inter-relations of US stock indices. Most studies on inter-relations concentrate on the portfolio analysis to reveal diversiﬁcation beneﬁts among various asset markets internationally. Hence this study contributes to this literature on the inter-relations of a speciﬁc asset market (stock), and in a speciﬁc nation (USA). The evident inter-relations support the notion of diversiﬁcation beneﬁts in the US stock markets

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Inter-linkages and causal relationships between US and BRIC equity markets: An empirical investigation

Cited by 18 publications

References 50 publications

Dynamic links between the Nigerian equity market and those of selected regional and developed countries

Dynamic links between the Nigerian equity market and those of selected regional and developed countries

Market Volatility and Causal Relationship among BRICS Stock Markets

Asymmetric and nonlinear inter-relations of US stock indices

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