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Nonlinear Interdependence Between the US and Emerging Markets' Industrial Stock Sectors

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  • Taufiq Choudhry
  • Bashir Nur Osoble

Abstract

This paper investigates the time‐varying, long‐run and short‐run dynamic relationships between stock industrial sectors of the US and three leading emerging markets/countries: Brazil, Malaysia, and South Africa between January 2000 and December 2009. A crucial empirical contribution of the study is the application of the nonlinear econometric time series techniques for the evaluation of the long‐run global relationships and causality linkages. Further contribution is the application of industrial sector indices rather than national indices. The results of the time‐varying analysis reaffirm the view that relationships between global financial markets tend to be quite volatile over time and particularly high in a time of high financial turbulence. Overall, the relatively weak interdependence between the US and the emerging markets' industry sectors suggests potential diversification benefits for investors in diversifying their portfolio investment across industrial sectors of emerging markets. Copyright © 2014 John Wiley & Sons, Ltd.

Suggested Citation

  • Taufiq Choudhry & Bashir Nur Osoble, 2015. "Nonlinear Interdependence Between the US and Emerging Markets' Industrial Stock Sectors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 20(1), pages 61-79, January.
    • Handle: RePEc:wly:ijfiec:v:20:y:2015:i:1:p:61-79
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    Cited by:

    1. Sami Saafi & Meriem Bel Haj Mohamed & Abdeljelil Farhat, 2017. "Untangling the causal relationship between tax burden distribution and economic growth in 23 OECD countries: Fresh evidence from linear and non-linear Granger causality," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 14(2), pages 265-301, December.
    2. Victor Bello Accioly & Beatriz Vaz de Melo Mendes, 2016. "Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil," Brazilian Business Review, Fucape Business School, vol. 13(2), pages 1-26, March.
    3. Dimitrios Vortelinos & Konstantinos Gkillas (Gillas) & Costas Syriopoulos & Argyro Svingou, 2017. "Asymmetric and nonlinear inter-relations of US stock indices," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 14(1), pages 78-129, December.

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