Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis
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.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
- Yoshiro Tsutsui & Kenjiro Hirayama, 2004. "Appropriate lag specification for daily responses of international stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 1017-1025.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Masih, Abul M. M. & Masih, Rumi, 1997. "Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(4), pages 859-885.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
- Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Go Tamakoshi, 2011. "European sovereign debt crisis and linkage of long-term government bond yields," Economics Bulletin, AccessEcon, vol. 31(3), pages 2191-2203.
- Pantelidis, Theologos & Pittis, Nikitas, 2004. "Testing for Granger causality in variance in the presence of causality in mean," Economics Letters, Elsevier, vol. 85(2), pages 201-207, November.
- Yuki Toyoshima & Shigeyuki Hamori, 2012. "Volatility transmission of swap spreads among the US, Japan and the UK: a cross-correlation function approach," Applied Financial Economics, Taylor & Francis Journals, vol. 22(11), pages 849-862, June.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- A. G. Malliaris & Jorge L. Urrutia, 2005. "The International Crash of October 1987: Causality Tests," World Scientific Book Chapters,in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 16, pages 251-262 World Scientific Publishing Co. Pte. Ltd..
- Malliaris, A. G. & Urrutia, Jorge L., 1992. "The International Crash of October 1987: Causality Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 353-364, September.
- Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Bhar, Ramaprasad & Hamori, Shigeyuki, 2005. "Causality in variance and the type of traders in crude oil futures," Energy Economics, Elsevier, vol. 27(3), pages 527-539, May.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Shigeyuki Hamori & Yuriko Imamura, 2000. "International transmission of stock prices among G7 countries: LA-VAR approach," Applied Economics Letters, Taylor & Francis Journals, vol. 7(9), pages 613-618.
- Z. Wang & J. Yang & D. A. Bessler, 2003. "Financial crisis and African stock market integration," Applied Economics Letters, Taylor & Francis Journals, vol. 10(9), pages 527-533.
- Bhar, Ramaprasad & Hamori, Shigeyuki, 2008. "Information content of commodity futures prices for monetary policy," Economic Modelling, Elsevier, vol. 25(2), pages 274-283, March. Full references (including those not matched with items on IDEAS)