IDEAS home Printed from https://ideas.repec.org/a/wsi/afexxx/v17y2022i03ns201049522250018x.html
   My bibliography  Save this article

Dynamic Linkages And Integration Among Five Emerging Brics Markets: Pre- And Post-Brics Period Analysis

Author

Listed:
  • AMIT KUMAR SINGH

    (Department of Commerce, Delhi School of Economics University of Delhi, Delhi, India)

  • ROHIT KUMAR SHRIVASTAV

    (Department of Commerce, Dr. Bhim Rao Ambedkar College, University of Delhi, Delhi, India)

  • AMIYA KUMAR MOHAPATRA

    (FOSTIIMA Business School, New Delhi, India)

Abstract

This study aims to explore dynamic linkages and integration among emerging markets of BRICS, especially comparing the pre- and post-BRICS formation period behaviors and further comment upon the portfolio diversification opportunities available for global investors. Weekly closing indices of BRICS stock markets for the period 2000–2020 have been taken. Considering BRICS formation year, total period is divided into two sub-periods, pre- and post-BRICS periods. Short-run relationship has been measured through Granger causality, VAR, IRF and VDC. For long-run co-movement, Johansen co-integration is applied. To explain asymmetrical response of the market, E-GARCH Model is applied. Both Granger causality and VAR model confirm presence of short-run inter-linkages among BRICS during post-BRICS period. Johansen co-integration test also establishes more co-integrating equations during post-BRICS. E-GARCH result indicates a strong presence of asymmetry effect in the volatility of BRICS stock returns during post-BRICS and concludes the presence of leverage effect in all the BRICS markets. By integrating the findings with relevant literature, authors propose a framework that establishes BRICS formation, trade agreements and collaboration with each other has resulted into a strong relationship among BRICS nations during post-BRICS period and hints a little opportunity to global investors for portfolio diversification in short-run but no opportunity in the long-run.

Suggested Citation

  • Amit Kumar Singh & Rohit Kumar Shrivastav & Amiya Kumar Mohapatra, 2022. "Dynamic Linkages And Integration Among Five Emerging Brics Markets: Pre- And Post-Brics Period Analysis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-36, September.
    • Handle: RePEc:wsi:afexxx:v:17:y:2022:i:03:n:s201049522250018x
    DOI: 10.1142/S201049522250018X
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S201049522250018X
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S201049522250018X?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chafic Saliba & Panteha Farmanesh & Seyed Alireza Athari, 2023. "Does country risk impact the banking sectors’ non-performing loans? Evidence from BRICS emerging economies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-30, December.
    2. Shu-kam LEE & Paul Kwok-ching SHUM & Hugo Hin-to LEE & Kai-yin WOO, 2023. "Purchasing Power Parity Between China and Selected BRI Countries in Asia," Advances in Decision Sciences, Asia University, Taiwan, vol. 27(3), pages 86-108, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:afexxx:v:17:y:2022:i:03:n:s201049522250018x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/afe/afe.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.