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Returns dynamics and global integration of BRICS stock markets

Author

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  • Akash Dania
  • D.K. Malhotra

Abstract

The Brazil, Russia, India, China and South Africa (BRICS) nations are currently among the fastest growing emerging markets. We empirically analyse the BRICS equity market returns' interdependence on the leading global markets of USA, UK, France and Germany. Results from this study suggest that returns of all BRICS nations are interdependent with the returns of USA, UK, France, and Germany, with varying degree and magnitude. By means of GARCH, we also find evidence of volatility spillover from major global markets to BRICS markets. We explain the observed phenomenon of growing influence - albeit with varying effects - of mature global markets on BRICS equity markets due to the nature of growing trade linkages.

Suggested Citation

  • Akash Dania & D.K. Malhotra, 2013. "Returns dynamics and global integration of BRICS stock markets," International Journal of Business and Emerging Markets, Inderscience Enterprises Ltd, vol. 5(3), pages 217-233.
    • Handle: RePEc:ids:ijbema:v:5:y:2013:i:3:p:217-233
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    Citations

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    Cited by:

    1. Oladapo Fapetu & Olufemi Aluko, 2017. "The Linkage between Emerging and Developed Markets: Implication for International Portfolio Diversification," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(6), pages 313-322, DECEMBER.
    2. Vlasova, E. & Luo, D., 2022. "Volatility spillover between the Russia-India-China triad and the United States: A multivariate generalized autoregressive conditional heteroscedasticity analysis," Journal of the New Economic Association, New Economic Association, vol. 54(2), pages 111-128.

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