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Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis

  • Xu, Haifeng
  • Hamori, Shigeyuki

In this paper, we investigate the dynamic linkages between the BRIC countries (Brazil, Russia, India, and China) and the United States in the mean and variance of stock prices for the period August 2, 2004, to April 30, 2010. In particular, we focus on the impact of the US financial crisis in September 2008 on the dynamic linkages between these stock prices. The sample period is divided into pre- and post-crisis periods in order to study the causal relationships in the mean and variance. The empirical results indicate that the international transmission of stock prices between the BRICs and the United States weakened in both the mean and variance on account of the 2008–09 US financial crisis.

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Article provided by Elsevier in its journal Journal of Asian Economics.

Volume (Year): 23 (2012)
Issue (Month): 4 ()
Pages: 344-352

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Handle: RePEc:eee:asieco:v:23:y:2012:i:4:p:344-352
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