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Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets

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  • Yarovaya, Larisa
  • Lau, Marco Chi Keung

Abstract

This paper analyses stock market co-movements around recent crises and explores the international portfolio diversification benefits available for UK investors holding a portfolio in the BRICS and MIST emerging markets. The application of conventional and regime-switch cointegration techniques suggests an absence of diversification benefits. Further evidence from application of a multivariate time-varying asymmetric model (i.e. AG-DCC) suggests that conditional correlation among the stock markets exhibits higher dependency when it is driven by negative shocks to the market. The asymmetric causality test provides supporting evidence of the decoupling hypothesis. The results indicate that the Chinese stock market is the most attractive option for the UK investor.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:riibaf:v:37:y:2016:i:c:p:605-619
    DOI: 10.1016/j.ribaf.2016.01.023
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    4. Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Eugene Stanley, H., 2016. "Who are the net senders and recipients of volatility spillovers in China’s financial markets?," Finance Research Letters, Elsevier, vol. 18(C), pages 255-262.
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    7. de Resende, Charlene C. & Pereira, Adriano C.M. & Cardoso, Rodrigo T.N. & de Magalhães, A.R. Bosco, 2017. "Investigating market efficiency through a forecasting model based on differential equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 199-212.
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    More about this item

    Keywords

    International portfolio diversification; Cointegration analysis with breaks; BRICS; MIST; Asymmetric response;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance

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