Interdependence of Global Stock Markets with Special Reference to BRIC Countries

Chittedi, Krishna Reddy

doi:10.2139/ssrn.1667862

Cited by 23 publications

(33 citation statements)

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“…Thus it is proven that a long-run relationship exists between the USA and all the BRICS markets. The results were in line with studies by Chittedi (2010); Sheu andLiao (2011) andFahami (2011 …”

Section: Co-integration Resultssupporting

confidence: 92%

“…Sheu and Liao (2011) who found that the US return Grangercauses those of the Russia, India and China, but not for USA-Brazil. The results also support the study of Chittedi (2010) where unidirectional causality was found from US to Indian markets. Further, it is observed from Table X, that bidirectional causality runs from MICEXCLOSE to NYSECLOSE and from JSECLOSE to NYSECLOSE.…”

Section: Granger Causalitysupporting

confidence: 88%

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Intensity of shock transmission amid US-BRICS markets

Lakshmi

Visalakshmi

Shanmugam³

2015

International Journal of Emerging Markets

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Purpose -The purpose of this paper is to analyze the intensity of transmission of shocks from USA to BRICS countries in the long-run and short-run deviations and swiftness of recovery during US subprime mortgage crisis. This analysis enables the authors to explore the evolving patterns of relationships between these markets and examine whether their co-movements altered either in response to international shocks that originated in advanced markets like USA or due to their domestic fluctuations. Design/methodology/approach -Employing data of daily stock market indices (open and close) of BRICS countries for the period January 2, 2001 to May 31, 2012, this paper examines the interactions and characteristics of price movements of BRICS with US market by applying co-integration tests, vector error correction model and Granger causality relationship. The daily stock market indices data are derived from respective stock exchange web sites. Findings -The results exhibit that both long-run co-integration relationships and short-run Granger causality relationships exist between the stock markets of US-BRICS. Furthermore, this nexus is amplified in the short-run during 2007-2009, when the subprime mortgage financial crisis in the USA cropped up. This finding lends support to the prominence of developed (US) market links in the proliferation of persistent co-movements of BRICS stock markets.Research limitations/implications -The findings imply an increasing degree of global market integration due to quick dissemination of global shocks originating from developed market like USA, and swift recovery which can be attributed to the increased resilience, consistent with the moderated level of domestically driven risk in the BRICS markets. In spite of their similarities, long-run and short-run interdependences with the US stock market exhibit differences among the BRICS. This can be attributed to the regional heterogeneity in long-run risk and return co-movements with the USA. Practical implications -Changes from the US index easily affect these stock markets in the shortrun, which implies that the US index may act as a leading indicator for investing funds in BRICS markets. Originality/value -This study would enable the authors to understand whether BRICS economies actually remain resilient to adverse developments in USA and could serve as alternative investment destinations for global portfolio diversification.

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Section: Co-integration Resultssupporting

confidence: 92%

Section: Granger Causalitysupporting

confidence: 88%

Intensity of shock transmission amid US-BRICS markets

Lakshmi

Visalakshmi

Shanmugam³

2015

International Journal of Emerging Markets

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“…Table 7 further validates the presence of integration in the Philippines and Indonesia, Singapore, and Thailand. The results of the study are similar to Chittedi (2010) where there was evidence of co-integration among the BRIC countries and developed countries, US, UK, and Japan. In the case of the ASEAN 5, there is co-integration among the four countries.…”

Section: Methodology and Analysis Of Findingssupporting

confidence: 78%

“…Morana's (2008) findings showed that global economic shocks among the international stock markets co-movements in the G-7 countries (Japan, USA, Britain, Canada, Germany, Italy, and France) affected economic integration while financial shock spillovers affected regional financial integration. In a similar study, Chittedi (2010) studied the integration of the stock market among the Brazil, Russia, India, and China (BRIC) economies in general and their integration with the developed countries' stock markets such as USA, United Kingdom (UK), and Japan using co-integration as one of the methodologies. The results showed evidence of co-integration between BRIC countries and developed countries, namely, USA, UK, and Japan.…”

Section: Introductionmentioning

confidence: 99%

Financial Integration Among the ASEAN 5 + 3 Stock Markets: A Preliminary Look at the First 10 Years of the New Millenium

Kabigting

Hapitan²

2013

CBR

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Korea. The research determined the stock return volatility for each country's index during the first decade of the new millennium. The findings showed that there is the presence of integration and co-integration with Philippine index's return with the index's returns of the following countries: Indonesia, Singapore, and Thailand. Furthermore, there is evidence of volatility clustering in these stock markets. The study concluded with the policy implications of greater integration in light of the planned cross trading among four ASEAN bourses, namely, Philippines, Singapore, Thailand, and Malaysia by 2012.

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“…It depends upon the time and is influenced more by the regional aspect (Lehkonen & Heimonen, 2014). The stock markets of BRIC economies are well-integrated with the developed stock markets of USA, UK and Japan (Chittedi, 2010). However, among BRIC countries, in the short run, Indian stock market is dominated by US market, Russian stock market is dominated by Japan market, and rest are dominated by neither (Jeyanthi, 2010).…”

Section: Literature Reviewmentioning

confidence: 99%

Emerging Stock Market Integration in the Post Financial Crises Era: An Empirical Analysis of the Short-term and Long-term Linkages

Verma

Rani

2016

Emerging Economy Studies

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In the backdrop of the recent global financial crises in 2008, this article attempts to assess the linkage among Brazil, Russia, India, China and South Korea. For this purpose, we adopted a variety of ways. First, long-run and short-run linkages among emerging market indices were investigated by using Johansen's co-integration method and Sim's vector autoregression model. Second, to analyze the issue in detail, we examined the causal relationship and impact of shocks by using Toda and Yamamoto (1995) version of Ganger noncausality test and forecasted error variance decomposition along with the impulse response function. We have investigated short-run causal relationship among the emerging market indices and showed how much of the forecast error variance of NIFTY market returns can be explained by exogenous shocks to the other emerging markets. The results of noncausality test among emerging stock markets indicated that Brazilian market has a unidirectional causality with Indian stock market, and Indian stock market has a unidirectional causality with South Korean market. Finally, the results of variance decomposition and impulse response function suggest that return in Indian stock market (NIFTY) is largely affected by its own shocks, whereas shocks in return of other emerging stock markets do not dominate in case of return in Indian stock market (NIFTY).

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Interdependence of Global Stock Markets with Special Reference to BRIC Countries

Cited by 23 publications

References 0 publications

Intensity of shock transmission amid US-BRICS markets

Intensity of shock transmission amid US-BRICS markets

Financial Integration Among the ASEAN 5 + 3 Stock Markets: A Preliminary Look at the First 10 Years of the New Millenium

Emerging Stock Market Integration in the Post Financial Crises Era: An Empirical Analysis of the Short-term and Long-term Linkages

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