Download or read book Stock Market Integration Among BRICS Nations An Empirical Analysis written by Mohammad Irshad VK and published by . This book was released on 2017 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: A study on integration among stock markets from different countries has an enormous importance in a globalized economic world. Being an awful economic force BRICS group of nations can change the economic climate of the world if they are highly financially integrated. The primary objective of this paper is to investigate the integration among BRICS nations during the past 10 years (2005 to 2015) by considering daily price histories of IBrX 50, RTSI, Nifty Index, Shanghai Composite Index, and FTSI - Africa Index for Brazil, Russia, India, China and South Africa respectively. It has been applied Johansen Co-integration Test (1988) and Pairwise Granger Causality test to remark interdependencies and dynamic linkages among selected markets. Surprisingly, Even though it is a Hulking economic force in the world, It has no long run relationship between them and some unidirectional cause and effect relationship only existed. Finally, this paper alleges better candidacy of the stock exchanges in multi-nationally diversified portfolios.

Download or read book Stock Markets Integration written by Saif Siddiqui and published by . This book was released on 2016 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper employs an empirical approach for identifying the presence and change of economic integration, as suggested by their stock markets, among BRIC (Brazil, Russia, India and China) nations. It further analyses the change in the integration and Causal relationships of stock markets of these countries before and after the formation of BRIC. This study is based on secondary data comprising of daily closing prices of the markets undertaken for the period of nine years from 2003 to 2012. The data is sub-divided into three periods, in order to have a time varying analysis. The analysis relies on Unit Root test, Co-integration Analysis and Granger Causality tests for testing the hypotheses.The result indicates that the formation of BRIC has barely any impact on the long term integration and causal relationship, between the respective stock markets of the BRIC nations.This study would be beneficial for the purpose of understanding the impact of international developments, like formation of regional groups, onto the stock market integration.

Download or read book An Empirical Analysis of the Relationship Between Oil Prices and Stock Markets written by Stelios Markoulis and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relationship between oil prices and stock market returns for the G7 and the BRIC countries for the period 1991-2016 using co-integration and a vector error correction model. Results reveal that there is no long-run relationship between oil prices and the stock market indices of the G7 countries. However, they also reveal that there is a long-run relationship between oil prices and the stock market indices of three out of the four BRIC countries (Brazil, China and Russia). This result appears to be broadly aligned with the idea that over the past quarter of a century emerging countries have been more exposed to oil prices (either as producers or consumers) than developed ones. Furthermore, from an investments' and international portfolio management perspective, it seems that there might be benefits from diversification when holding the stock market index of a G7 country or India and oil assets since these appear to be segmented. On the other hand, such benefits might not be applicable in the case of the stock markets of Brazil, China or Russia and oil assets as these seem to be integrated.

Download or read book Analysis of the Relationship Between the Stock Markets of China and Other BRICS Countries the United States and Australia written by Kejia Yan and published by . This book was released on 2019-03-30 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an integrating theoretical and empirical study of the co-movement and time-varying correlations between the stock markets of China and other BRICS countries, including Brazil, India, Russia and South Africa, the United States and Australia. It is motivated by the global integration of capital markets and the resultant decline in the potential benefits of diversification. This book fills the gap in the research regarding this issue.

Download or read book Global Stock Market Integration written by Sabur Mollah and published by Springer. This book was released on 2016-02-10 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market integration between developing and emerging markets has numerous benefits for creating a global - yet stable - world economy. It increases competition and the efficiency of local markets, in turn reducing price volatility and the cost of capital among integrated markets. It also generates capital flows, which enhance financial stability and spur economic growth. At its core, stock market integration has an important role to play in both developing and emerging markets still reeling from the global financial crisis. Global Stock Market Integration analyzes the financial makeup of developing and emerging markets around the world, providing empirical insights into market integration, co-movements in price, crises, and efficiency linkages. Mobarek and Mollah argue that the relationship between market integration and market efficiency within developing and emerging countries is not the only measure necessary for effecting real financial growth. This work brings the review of theories and empirical research on the topic up-to-date and expands the existing literature with new perspectives on developed and emerging markets.

Download or read book Transmission of Stock Price Movement written by Rajneesh Prakash Verma and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper attempts to investigate the linkage among BRIC nations after the global financial crisis of 2008. Literature indicates that a large number of studies have addressed issues like regional and global market integration of India, integrating the relationship of BRIC nations with other developed economies, but relationship among BRIC nations is far from over. The analysis in the present study has been carried out in two stages. In the first stage, long-run and short-run linkages among BRIC market indices are analyzed using Johansen cointegration method and Sim's Vector Autoregression (VAR) model. In the second stage, the linkages are investigated using a VAR model through Toda and Yamamoto (1995) version of Granger non-causality test and forecasted error variance decomposition as well as impulse response. Investigating the short-run causal relationship among market indices revealed how much of the forecast error variance of NIFTY market return can be explained by exogenous innovation to the other BRIC markets. The results of causality among BRIC stock markets indicate that only Brazilian market has a unidirectional causality on Indian stock market. The findings also suggest that return in Indian stock market (NIFTY) is largely affected by its own innovation, and innovations in other BRIC stock markets do not dominate in the case of Indian stock market.

Download or read book Financial Contagion in the BRICS Stock Markets written by Dirceu Pereira and published by . This book was released on 2018 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research analyzes and extend the study of contagion for BRICS Emerging Stock Markets in the context of the last two international financial crises: the Lehman Brothers Bankruptcy Crisis and the European Sovereign Debt Crisis. We investigate changes in the relationship and the co-movements between BRICS markets in response to international shocks that are originated in advanced markets like USA and Europe. Employing data of daily stock market indices of BRICS countries, this research tests for contagion, examining the interactions and characteristics of price movements of BRICS stock markets by applying cointegration, causality and VECM/Gonzalo Granger statistic and variance decomposition methodology on stock returns as a measure of perceived country risk. The results exhibit that both long-run and short-run relationships patterns exist between BRICS stock markets and have drastically changed during turbulent periods compared with tranquil period, pointing towards the occurrence of contagion phenomenon among BRICS markets during the last two crises. These findings also indicate that changes in the USA and the Euro Zone indices affect BRICS stock markets in the short-run, acting as a leading indicator for investing in BRICS markets. Also imply an increasing degree of global market integration, bringing major implications for portfolio diversification and policy makers.

Download or read book A Study of Causality and Co Integration Effect Among the BRICS Countries Stock Exchanges A Relationship Study written by Raman Singh and published by . This book was released on 2015 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: Development of financial system of one of the important determinants of global integration. Indian capital markets integration and co-movement with other International markets has grown rapidly. This paper deals with Stock market returns by five emerging international countries in the world which are popularly called BRICS countries i.e. Brazil, Russia, India, China, and South Africa. The authors tries to find out the linkages and relationship between the returns of these BRICS Stock Exchanges and to examine the effect of changes in the stock index of one country affects the stock index of other country or not. The monthly Index returns of all the five nations are taken from 2002 to 2013. We will try to test the long term relationship using Johansen Co-integration test to show long run association between the Stock Exchange Index returns. The analysis also provides the evidences of cause and effect relationship between the Nifty Index and BRICS Stock Exchanges Index. For that we apply Augmented Dickey fuller-test and Granger Causality test. The findings have important implications for investment and speculative decisions.

Download or read book The Dynamics of Emerging Stock Markets written by Mohamed El Hedi Arouri and published by Springer Science & Business Media. This book was released on 2009-12-24 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.

Download or read book Anatomy of Global Stock Market Crashes written by Gagari Chakrabarti and published by Springer Science & Business Media. This book was released on 2012-01-05 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic interlinkages during the stock market crises over the last twelve years. The study isolates different phases of crisis and differentiates between any crisis that remains confined to the region and those that take up a global dimension. The latent structure of the global stock market, the inter-regional and intra-regional stock market dynamics around the crises are analyzed to get a complete picture of the structure of the global stock market. The study further probing into the inherent nature of the global stock market in generating crisis finds the global market to be chaotic thus making the system intrinsically unstable or at best to follow knife-edge stability. The findings have significant bearing at theoretical level and on policy decisions.

Download or read book Towards an Unstable Hook written by Cécile Bastidon and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine equity market integration for 17 countries from 1913-2018. We use network analysis to measure the evolution of global stock market integration as well as stock market integration between and across countries. The empirical results suggest that long-run stock market integration looks like an unstable hook. Equity market integration first peaked in 1913 during the first era of globalization (1870-1913) when unfettered markets ruled the day. Integration declined over the next 60 years as countries experienced the Great Depression and shunned international capital markets. The end of the Bretton Woods system in the early 1970s ushered in the second period of globalization. Our empirical analysis suggests that stock market integration in the recent period of globalization has surpassed the first era of globalization in the last 10 years and currently has the highest level of equity market integration and network instability in world history.

Download or read book Stock Market Integration and Portfolio Divesification in the Bric Countries written by and published by . This book was released on 2012 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the stock market integration and portfolio diversification in the BRICs (Brazil, Russia, India and China) before and after the US subprime mortage crisis in 2008. The monthly stock market closing indexes from May 2003 to June 2011 have been adopted and further sub-divided into pre-crisis periods.

Download or read book Dynamic Stock Market Integration Driven by the European Monetary Union written by Suk-Joong Kim and published by . This book was released on 2008 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the impacts of the introduction of the euro on the pattern of stock market linkages and the dynamic process of stock market integration over the period from 1989-2003. On a regional level, we examine integration among stock market indices of European Union (EU) countries with the European Monetary Union (EMU) while on a global level, integration of the EMU vis-a-vis Japan and the US are analyzed. We assess stock market integration within the context of a bivariate exponential generalized autoregressive conditional heteroscedasticity (EGARCH) framework with time varying conditional correlations. First, we discuss that European stock market integration has undergone a clear regime shift. Second, we find a striking number of significant return and volatility spillovers within the EMU and for the entire EMU region with the US and Japan and that these linkages have strengthened with currency unification. Third, we show that the introduction of the euro has indeed caused this stock market integration. Finally, our seemingly unrelated regression estimations (SURE) find that stock market integration is a persistent and seasonal process as its main determinants are the existing levels of integration and stock market development and there are signs of a positive January effect. While the introduction of the monetary union has in general been a significant driving force behind this regional and global phenomenon, the effectiveness of the different economic convergence criteria associated with the EMU in driving this process differs across member states. On a global level, the commitment to price stability has significantly strengthened stock market integration between the EMU and the US whilst convergence in industrial production has increased ties between the EMU and Japan.

Download or read book Handbook of Heavy Tailed Distributions in Finance written by S.T Rachev and published by Elsevier. This book was released on 2003-03-05 with total page 707 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series.This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.

Download or read book Benefits and Costs of International Financial Integration written by Pierre-Richard Agénor and published by World Bank Publications. This book was released on 2001 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: This literature review joins with recent studies in arguing that financial integration must be carefully prepared and managed to ensure that the benefits outweigh the short-run risks. But in contrast with some other studies, it adopts a more skeptical view of the benefits of capital flows other than foreign direct investment.

Download or read book The Evidence and Impact of Financial Globalization written by and published by Academic Press. This book was released on 2012-12-31 with total page 807 pages. Available in PDF, EPUB and Kindle. Book excerpt: The sharp realities of financial globalization become clear during crises, when winners and losers emerge. Crises usher in short- and long-term changes to the status quo, and everyone agrees that learning from crises is a top priority. The Evidence and Impact of Financial Globalization devotes separate articles to specific crises, the conditions that cause them, and the longstanding arrangements devised to address them. While other books and journal articles treat these subjects in isolation, this volume presents a wide-ranging, consistent, yet varied specificity. Substantial, authoritative, and useful, these articles provide material unavailable elsewhere. - Substantial articles by top scholars sets this volume apart from other information sources - Rapidly developing subjects will interest readers well into the future - Reader demand and lack of competitors underline the high value of these reference works

Download or read book Finance and Economic Development written by Asl? Demirgüç-Kunt and published by World Bank Publications. This book was released on 2006 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: " The empirical literature on finance and development suggests that countries with better developed financial systems experience faster economic growth. Financial development-as captured by size, depth, efficiency, and reach of financial systems-varies sharply around the world, with large differences among countries at similar levels of income. This paper argues that governments play an important role in building effective financial systems and discusses different policy options to make finance work for development."--World Bank web site.