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International Equity Diversification Between the United States and Brics Countries

Author

Listed:
  • Zhong, Ming

    (Shanghai University of Finance and Economics, School of Finance, Shanghai, China.)

  • Chang,Tsangyao

    (Department of Finance, Feng Chia University, Taichung, Taiwan.)

  • Tzeng, Han-Wen

    (Department of Finance, Overseas Chinese University, Taichung, Taiwan.)

Abstract

This study uses an enhanced powerful nonparametric cointegration test developed by Bierens (1997) to re-investigate whether there are long-run benefits from international equity diversification between the United States and BRICS countries (i.e., Brazil, Russia, India, China, and South Africa), over the period July 1997 to March 2012. The results of this test suggest that the United States markets (for both Dow Jones 30 and S&P 500) are pairwise cointegrated with the stock markets of the BRICS countries. These findings should prove valuable to individual investors and financial institutions.

Suggested Citation

  • Zhong, Ming & Chang,Tsangyao & Tzeng, Han-Wen, 2014. "International Equity Diversification Between the United States and Brics Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 123-138, March.
    • Handle: RePEc:rjr:romjef:v::y:2014:i:1:p:123-138
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    References listed on IDEAS

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    2. Cikiryel, Burak & Masih, Mansur, 2017. "The Impact of Brexit on Islamic Stock Markets Employing MGARCH-DCC and Wavelet Correlation Analysis," MPRA Paper 95681, University Library of Munich, Germany.
    3. Hüseyin Dağli; & Uğur Sivri & Semra Bank, 2012. "International portfolio diversification opportunities between Turkey and other emerging markets," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(1), pages 4-23.
    4. Isha Narula, 2016. "Dynamics of volatility behaviour and transmission: evidences from BRICS countries," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 43(1), pages 31-51, March.

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    More about this item

    Keywords

    international equity diversification; BRICS countries; long-run investment portfolios; nonparametric cointegration test;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements

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