IDEAS home Printed from https://ideas.repec.org/a/bpj/sndecm/v25y2021i4p213-228n2.html
   My bibliography  Save this article

Financial integration in emerging economies: an application of threshold cointegration

Author

Listed:
  • Ali Sajid

    (Faculty of Finance and Banking, Ton Duc Thang University, Ho Chi Minh City, Vietnam)

  • Rehman Mobeen Ur
  • Vinh Vo Xuan

    (Institute of Business Research, University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam)

  • Shahzad Syed Jawad Hussain

    (South Ural State University, 76, Lenin Prospekt, Chelyabinsk, Russian Federation)

  • Raza Naveed

    (Department of Management Sciences, COMSATS University, Islamabad, Pakistan)

Abstract

The asymmetric short – and long-run relationships between BRICS stock markets are examined using monthly stock price data from January 2001 through December 2014. The asymmetric co-integration analysis confirms the presence of a long-run association between the BRICS stock markets; where, the speed of adjustment to the negative shocks is higher and statistically significant for the Brazil-India and China-India pairs, which indicates quick adjustment of stock prices to bad news compared to good news. Conversely, the speed of adjustment for Indian and South African stock markets is higher for positive shocks, while the relationship between the stock markets pair of Russia and South Africa is linear. The results of asymmetric error correction model (AECM) reveal evidence of bidirectional causality between China-India, India-South Africa and South Africa-Russia, while unidirectional causality runs from the Indian to Brazilian stock market. Thus, we can safely conclude that the Indian stock market has long-run and short-run relationships with most of the other stock markets. This suggests that investors should pay attention to the Indian stock market when investing in BRICS stock markets.

Suggested Citation

  • Ali Sajid & Rehman Mobeen Ur & Vinh Vo Xuan & Shahzad Syed Jawad Hussain & Raza Naveed, 2021. "Financial integration in emerging economies: an application of threshold cointegration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(4), pages 213-228, September.
    • Handle: RePEc:bpj:sndecm:v:25:y:2021:i:4:p:213-228:n:2
    DOI: 10.1515/snde-2018-0093
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/snde-2018-0093
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1515/snde-2018-0093?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. Adeabah, David & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2023. "How far have we come and where should we go after 30+ years of research on Africa's emerging financial markets? A systematic review and a bibliometric network analysis," Emerging Markets Review, Elsevier, vol. 55(C).

    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:bpj:sndecm:v:25:y:2021:i:4:p:213-228:n:2. 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: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    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.