Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models

19 Pages Posted: 20 Jan 2016

See all articles by Walid Mensi

Walid Mensi

Al-Imam Muhammad Ibn Saud Islamic University

Shawkat M. Hammoudeh

Montpellier Business School; Drexel University - Lebow College of Business

Seong-Min Yoon

Department of Economics, Pusan National University; IPAG Business School

Duc Nguyenc

IPAG Business School

Date Written: February 2016

Abstract

This study investigates the asymmetric linkages between the five BRICS (Brazil, Russia, India, China and South Africa) countries’ stock markets and three country risk ratings (financial, economic and political risk) in the presence of major global economic and financial factors. Using the dynamic panel threshold models, we find evidence of asymmetry in most cases. However, the significance and the signs of the effects of these risk ratings on the BRICS market returns differ across the lower and upper regimes. Furthermore, improvements in the global stock, West Texas Intermediate (WTI) and gold markets enhance the BRICS stock market performance. Increases in implied volatility indices lead to drops in the BRICS markets.

Suggested Citation

Mensi, Walid and Hammoudeh, Shawkat M. and Yoon, Seong-Min and Nguyenc, Duc, Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models (February 2016). Review of International Economics, Vol. 24, Issue 1, pp. 1-19, 2016. Available at SSRN: https://ssrn.com/abstract=2718686 or http://dx.doi.org/10.1111/roie.12201

Walid Mensi

Al-Imam Muhammad Ibn Saud Islamic University

Kingdom of Saudi Arabia
Riyadh, 11546
Saudi Arabia

Shawkat M. Hammoudeh

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, 34080
France

Drexel University - Lebow College of Business ( email )

3141 Chestnut Street
Philadelphia, PA 19104
United States
2158956673 (Phone)
2158956975 (Fax)

HOME PAGE: http://faculty.lebow.drexel.edu/HammoudehS/

Seong-Min Yoon (Contact Author)

Department of Economics, Pusan National University ( email )

IPAG Business School ( email )

184 BD Saint Germain
Paris, 75006
France

Duc Nguyenc

IPAG Business School

184 BD Saint Germain
Paris, 75006
France

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