Inter-Linkages between Stock Exchanges: A Study of BRIC Nations

22 Pages Posted: 12 May 2011 Last revised: 26 Nov 2017

See all articles by Gagan Deep Sharma

Gagan Deep Sharma

Guru Gobind Singh Indraprastha (GGSIP) University

Sanjeet Singh

UCRD, Chandigarh University; Chandigarh University

Gurjit Singh Litt

Baba Banda Singh Bahadur (BBSB) Engineering College

Date Written: May 10, 2011

Abstract

Internationalization of capital markets gives opportunities to the investors to invest their money in the country of their choice, not just in their own country. The relationships between international stock markets have become increasingly important in recent times. This paper studies the inter-linkages between stock markets of Brazil, Russia, India, and China. Daily closing levels of the benchmark indices in the three countries are taken for a period of 1 April 2005 to 31 March 2010. While line charts, co integration and unit-root test are applied to check the stationary nature of the series; Granger’s causality model, Vector Auto Regression (VAR) model and Variance Decomposition Analysis are performed to find out the linkages between the markets under study. The VAR models also confirm the results of Granger’s Causality model.

Keywords: inter-linkages, stationary, Granger’s Causality, Vector Auto Regression Model, Variance Decomposition Analysis

JEL Classification: N20, G15

Suggested Citation

Sharma, Gagan Deep and Singh, Sanjeet and Litt, Gurjit Singh, Inter-Linkages between Stock Exchanges: A Study of BRIC Nations (May 10, 2011). Available at SSRN: https://ssrn.com/abstract=1837223 or http://dx.doi.org/10.2139/ssrn.1837223

Gagan Deep Sharma (Contact Author)

Guru Gobind Singh Indraprastha (GGSIP) University ( email )

Sector 16 C,
Dwarka
Delhi, Delhi 110078
India

Sanjeet Singh

UCRD, Chandigarh University ( email )

National Highway 95
Chandigarh, 140413
India

Chandigarh University ( email )

Gharuan
Mohali
Mohali, Punjab 140413
India

Gurjit Singh Litt

Baba Banda Singh Bahadur (BBSB) Engineering College ( email )

Near Jyoti Saroop Gurudwara
Fatehgarh Sahib, Punjab 140407
India

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