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Stock market integration: evidence from BRIC countries

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  • Naliniprava Tripathy

Abstract

This paper examines the dynamic linkage and integration in between BRIC countries' stock market using daily data from January 2000 to May 2014. The study finds that there is a bi-directional causal relationship exist between Indian and Russian stock market, Brazilian and Russian stock market. Further, Chinese stock market is functioning independently and does not have any causal effect to Indian, Russian and Brazilian stock market. The study reports that there is long run equilibrium relationship existing among all BRIC countries stock market. The study concludes that the movements of stock market return are explained by their own shocks rather than the shocks of other BRIC countries stock market return. The study suggests that increase level of integration of BRIC economics necessitates the need for global investors to follow portfolio stock selection strategy and ascertain specific growth areas within these economics before making investment decision.

Suggested Citation

  • Naliniprava Tripathy, 2015. "Stock market integration: evidence from BRIC countries," International Journal of Business and Emerging Markets, Inderscience Enterprises Ltd, vol. 7(3), pages 286-306.
    • Handle: RePEc:ids:ijbema:v:7:y:2015:i:3:p:286-306
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