Are the Stock Exchanges of Emerging Economies Inter-Linked: Evidence from BRICS

Indian Journal of Finance, Volume 7, Number 1, 2013

25 Pages Posted: 11 Jan 2014

See all articles by Gagan Deep Sharma

Gagan Deep Sharma

Guru Gobind Singh Indraprastha (GGSIP) University

Mandeep Mahendru

Gian Jyoti Institute of Management & Technology

Sanjeet Singh

UCRD, Chandigarh University; Chandigarh University

Date Written: January 1, 2013

Abstract

This paper studies the interlinkages between stock markets of Brazil, Russia, India, China and South Africa (BRICS) with the help of benchmark indices of these stock exchanges. Daily closing levels of the benchmark indices in the five countries were taken for a period from April 1, 2005 to March 31, 2010. Line charts and unit-root tests were applied to check the stationary nature of the series; Regression Analysis, Granger's Causality Model, Vector Auto Regression (VAR) Model, and Variance Decomposition Analysis were performed to find out the linkages between the markets under study. The analysis revealed that the stock markets under study were influenced by each other, but not to a great extent. It implies that there exists opportunities for diversification of the investors among the stock exchanges of BRICS.

The paper also observed that there are domestic factors (macro-economic variables) that influence the stock markets.

Keywords: Interlinkages, Granger's Causality, Vector Auto Regression (VAR), Variance Decomposition, BRICS

JEL Classification: G1, G15, N25

Suggested Citation

Sharma, Gagan Deep and Mahendru, Mandeep and Singh, Sanjeet, Are the Stock Exchanges of Emerging Economies Inter-Linked: Evidence from BRICS (January 1, 2013). Indian Journal of Finance, Volume 7, Number 1, 2013, Available at SSRN: https://ssrn.com/abstract=2376827

Gagan Deep Sharma (Contact Author)

Guru Gobind Singh Indraprastha (GGSIP) University ( email )

Sector 16 C,
Dwarka
Delhi, Delhi 110078
India

Mandeep Mahendru

Gian Jyoti Institute of Management & Technology ( email )

Phase - II
Mohali, Punjab
India

Sanjeet Singh

UCRD, Chandigarh University ( email )

National Highway 95
Punjab
Mohali, IN Punjab 140413
India

Chandigarh University ( email )

Gharuan
Mohali
Mohali, Punjab 140413
India

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