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Lead-Lag Effect in the Stock Market of BRICS

Author

Listed:
  • Tonin, Julyerme Matheus
  • Tonin, João Ricardo
  • Cunha, Marina da Silva
  • Bornia, José Carlos

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

  • Tonin, Julyerme Matheus & Tonin, João Ricardo & Cunha, Marina da Silva & Bornia, José Carlos, 2013. "Lead-Lag Effect in the Stock Market of BRICS," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 5(4), pages 54-66.
    • Handle: RePEc:zbw:espost:342688
    DOI: 10.1080/19186444.2013.11658372
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    References listed on IDEAS

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    1. Anthony F. Herbst & Joseph P. McCormack & Elizabeth N. West, 1987. "Investigation of a lead‐lag relationship between spot stock indices and their futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(4), pages 373-381, August.
    2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    3. Saatcioglu, Kemal & Starks, Laura T., 1998. "The stock price-volume relationship in emerging stock markets: the case of Latin America," International Journal of Forecasting, Elsevier, vol. 14(2), pages 215-225, June.
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