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

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  • Xu, Haifeng
  • Hamori, Shigeyuki

Abstract

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.

Suggested Citation

  • Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.
  • Handle: RePEc:eee:asieco:v:23:y:2012:i:4:p:344-352
    DOI: 10.1016/j.asieco.2012.04.002
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    Cited by:

    1. Yarovaya, Larisa & Lau, Marco Chi Keung, 2016. "Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 605-619.
    2. repec:bla:rdevec:v:21:y:2017:i:4:p:e204-e219 is not listed on IDEAS
    3. Narendar Rao & K. Reddy, 2015. "The impact of the global financial crisis on cross-border mergers and acquisitions: a continental and industry analysis," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 5(2), pages 309-341, December.
    4. Bellenzier, Lucia & Vitting Andersen, Jørgen & Rotundo, Giulia, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Economic Modelling, Elsevier, vol. 59(C), pages 224-236.
    5. Go Tamakoshi & Shigeyuki Hamori, 2014. "Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 627-642, October.
    6. Delcoure, Natalya (Natasha) & Singh, Harmeet, 2016. "BRIC or CBRI: It just doesn’t sound as sexy, does it?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 230-239.
    7. Gilenko, Evgenii & Fedorova, Elena, 2014. "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 32-45.
    8. Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Emerging Markets Review, Elsevier, vol. 19(C), pages 1-17.
    9. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 8, pages 1-43.
    10. Reddy, Kotapati Srinivasa & Nangia, Vinay Kumar & Agrawal, Rajat, 2014. "The 2007-2008 global financial crisis, and cross-border mergers and acquisitions: A 26-nation exploratory study," MPRA Paper 60148, University Library of Munich, Germany.
    11. Bhuyan, Rafiqul & Robbani, Mohammad G. & Talukdar, Bakhtear & Jain, Ajeet, 2016. "Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 180-195.
    12. Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel, 2015. "Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 7-18.
    13. Abu Bakar, Norhidayah & Masih, Abul Mansur M., 2014. "The Dynamic Linkages between Islamic Index and the Major Stock Markets: New Evidence from Wavelet time-scale decomposition Analysis," MPRA Paper 56977, University Library of Munich, Germany.
    14. Reddy, Kotapati Srinivasa, 2015. "The impact of the global financial crisis on border-crossing mergers and acquisitions: A continental/industry analysis," MPRA Paper 63563, University Library of Munich, Germany, revised 2015.
    15. Chin-Hong Puah & Rayenda Khresna Brahmana & Kai-Hung Wong, 2015. "Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis: Insight From BRIC Countries," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 61, pages 120-130, August.
    16. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Kang, Sang Hoon, 2016. "Global financial crisis and spillover effects among the U.S. and BRICS stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 257-276.

    More about this item

    Keywords

    Financial crisis; BRICs; Dynamic linkages of stock prices; Hong test;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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