The integration and efficiency of BRICS and Pakistan stock markets: An analysis using asymmetric cointegration and MF-DFA approaches

This study examines the asymmetric cointegration and efficiency between Pakistan and BRICS equity markets using monthly data from October 1997 to September 2018. The results reveal that the Brazilian stock market is the most efficient during the global financial crisis. Threshold and momentum thresh...

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Bibliographic Details
Main Authors: Rukhsana Bibi, Kulsoom Akhtar, Naveed Raza
Format: Article
Language:English
Published: Institute of Business Administration 2021-08-01
Series:Business Review
Subjects:
Online Access:https://ir.iba.edu.pk/businessreview/vol16/iss1/3/