Stock Markets Integration: India Among BRIC Nations
20 Pages Posted: 27 Nov 2015 Last revised: 9 May 2016
Date Written: November 25, 2015
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: Suggested Citation