Analysis of the Integration and Dynamic Linkages of BRICS Stock Markets

DOI

10.2991/aebmr.k.210319.140How to use a DOI?

Keywords

BRICS Nations, Linkage of Stock Market, VAR Model, Co-integration

Abstract

In the past decade, BRICS countries have become the main driver of global economic growth. China, as a major member of BRICS, has gradually opened up its own capital market and gained ever-growing interconnection with global capital markets, with the implement the QFII and QDII system. Therefore, it is of great significance to explore the stock markets linkage between China and other BRICS nations. In this paper, it focuses on the long-term equilibrium relations and short-term dynamic linkage among the BRICS stock markets, and uses such tools as co-integration test, causality test, impulse-response and variance decomposition, to analyze the correlation of representative stock indexes in BRICS countries. The empirical results show that, in the long term and the short term, there is a clear stock correlation among the BRICS markets. In the long run, there is a reliable co-integration relationship among all the stock markets. Moreover, Granger causality test results show that China’s stock market is influenced by other countries instead of influencing others, and most of the causal relationships are bidirectional. In the short run, the results of impulse-response and variance decomposition show that China’s market volatility has the largest and most obvious spillover effect on other countries’ stock markets. This paper will help the authorities of BRICS with the formulation of macroeconomic policies as well as the establishment of regulatory mechanisms, and the investors with rational investment strategy.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Zehui Yu
AU  - Liru Bai
AU  - Yiming Li
PY  - 2021
DA  - 2021/03/22
TI  - Analysis of the Integration and Dynamic Linkages of BRICS Stock Markets
BT  - Proceedings of the 6th International Conference on Financial Innovation and Economic Development (ICFIED 2021)
PB  - Atlantis Press
SP  - 755
EP  - 761
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.210319.140
DO  - 10.2991/aebmr.k.210319.140
ID  - Yu2021
ER  -