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Do global factors impact BRICS stock markets? A quantile regression approach

Listed author(s):
  • Walid Mensi
  • Shawkat Hammoudeh
  • Juan Carlos Reboredo
  • Duc Khuong Nguyen

This paper examines the dependence structure between the emerging stock markets of the BRICS countries (Brazil, Russia, India, China and South Africa) and influential global factors (the S&P 500 index, the commodity markets, the global stock market uncert

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File URL: http://www.ipag.fr/wp-content/uploads/recherche/WP/IPAG_WP_2014_159.pdf
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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-159.

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Length: 36 pages
Date of creation: 01 Jan 2014
Handle: RePEc:ipg:wpaper:2014-159
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Phone: 33 1 53 63 36 00
Web page: http://www.ipag.fr

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