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The Lead-Lag Effect in BRICS¡¯ Stock Market

Author

Listed:
  • Julyerme Matheus Tonin

    () (Department of Economics, Universidade Estadual de Maring¨¢)

  • Jo?o Ricardo Tonin

    () (Universidade Estadual de Maring¨¢)

  • Marina da Silva Cunha

    () (Universidade Estadual de Maring¨¢)

  • Jos¨¦ Carlos Bornia

    () (Universidade Estadual de Maring¨¢)

Abstract

Recent performance of Brazil's stock market contributed to attracting investments from various parts of the globe. This study aims to examine the lead-lag effect between the stock market of the BRICs, from March 2004 until March 2013, using the methodology proposed by Shih Chen and Hsiao (2008). Among the results the research emphasizes,we analyzed that the Brazilian market is leading others stock exchange in periods before and after the financial crisis, which the magnitude of the effect took about two days to be dissipated.

Suggested Citation

  • Julyerme Matheus Tonin & Jo?o Ricardo Tonin & Marina da Silva Cunha & Jos¨¦ Carlos Bornia, 2013. "The Lead-Lag Effect in BRICS¡¯ Stock Market," Transnational Corporations Review, Ottawa United Learning Academy, vol. 5(4), pages 54-66, December.
  • Handle: RePEc:oul:tncr09:v:5:y:2013:i:4:p:54-66
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