The Lead-Lag Effect in BRICS¡¯ Stock Market
AbstractRecent performance of Brazil's stock market contributed to attracting investments from various parts of the globe. This study aims to examine the lead-lag effect between the stock market of the BRICs, from March 2004 until March 2013, using the methodology proposed by Shih Chen and Hsiao (2008). Among the results the research emphasizes,we analyzed that the Brazilian market is leading others stock exchange in periods before and after the financial crisis, which the magnitude of the effect took about two days to be dissipated.
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Bibliographic InfoArticle provided by Ottawa United Learning Academy in its journal Transnational Corporations Review.
Volume (Year): 5 (2013)
Issue (Month): 4 (December)
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Lead-lag effect; impulse response analysis; BRICs; Brazil.;
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