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

  • 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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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
Date of revision:
Handle: RePEc:ipg:wpaper:2014-159
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  22. Li, Ming-Yuan Leon & Miu, Peter, 2010. "A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 818-833, September.
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