Stock Markets Integration: India Among BRIC Nations

20 Pages Posted: 27 Nov 2015 Last revised: 9 May 2016

See all articles by Saif Siddiqui

Saif Siddiqui

Centre for Management Studies, Jamia Millia Islamia (Central University), New Delhi, India

Khalid Qurashi

Jamia Millia Islamia

Date Written: November 25, 2015

Abstract

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.

Keywords: Stock Market Integration, BRIC, Unit-Root Test, Co-integration and Granger Casualty

JEL Classification: G10, G15

Suggested Citation

Siddiqui, Saif and Qurashi, Khalid, Stock Markets Integration: India Among BRIC Nations (November 25, 2015). Available at SSRN: https://ssrn.com/abstract=2695454 or http://dx.doi.org/10.2139/ssrn.2695454

Saif Siddiqui (Contact Author)

Centre for Management Studies, Jamia Millia Islamia (Central University), New Delhi, India ( email )

New Delhi
New Delhi, Delhi 110025
India

Khalid Qurashi

Jamia Millia Islamia ( email )

Jamia Nagar
Jamia Millia Islamia (Centre University)
New Delhi, New Delhi 110025
India

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