Exploring Contemporaneous Correlations Among BRICS Stock Markets
In the current paper, the author has used daily closing price data of the selected equity indices of the five BRICS countries from a period of 2010 to 2017 to understand the extent of co-movement among them and to evaluate the existence of portfolio diversification opportunities they present togethe...
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| Format: | Article |
| Language: | English |
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Dunarea de Jos University of Galati
2019-12-01
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| Series: | Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics |
| Online Access: | http://eia.feaa.ugal.ro/images/eia/2019_3/Shalini_Talwar.pdf |
| _version_ | 1819087552010780672 |
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| author | Shalini TALWAR |
| author_facet | Shalini TALWAR |
| author_sort | Shalini TALWAR |
| collection | DOAJ |
| description | In the current paper, the author has used daily closing price data of the selected equity indices of the five BRICS countries from a period of 2010 to 2017 to understand the extent of co-movement among them and to evaluate the existence of portfolio diversification opportunities they present together. Econometric tools have been used to diagnose unidirectional and/or bidirectional causality, long-run co-movement and short-run contemporaneous correlations among these markets. The findings reveal potentially profitable investment prospects. Vigour of the results has been tested in two ways. First, Granger causality and VAR estimates have been retested for a different time horizon using daily data from 2000 to 2007. The second robustness check has been done by evaluating the outcome of VAR by changing the Cholesky ordering for the data from 2010 to 2017. |
| first_indexed | 2024-12-21T21:37:57Z |
| format | Article |
| id | doaj.art-fb37c287968d4d2a98610abe2301ce00 |
| institution | Directory Open Access Journal |
| issn | 1584-0409 1584-0409 |
| language | English |
| last_indexed | 2024-12-21T21:37:57Z |
| publishDate | 2019-12-01 |
| publisher | Dunarea de Jos University of Galati |
| record_format | Article |
| series | Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics |
| spelling | doaj.art-fb37c287968d4d2a98610abe2301ce002022-12-21T18:49:26ZengDunarea de Jos University of GalatiAnnals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics1584-04091584-04092019-12-01253515910.35219/eai1584040955Exploring Contemporaneous Correlations Among BRICS Stock MarketsShalini TALWAR0K.J. Somaiya Institute of Management Studies & Research, IndiaIn the current paper, the author has used daily closing price data of the selected equity indices of the five BRICS countries from a period of 2010 to 2017 to understand the extent of co-movement among them and to evaluate the existence of portfolio diversification opportunities they present together. Econometric tools have been used to diagnose unidirectional and/or bidirectional causality, long-run co-movement and short-run contemporaneous correlations among these markets. The findings reveal potentially profitable investment prospects. Vigour of the results has been tested in two ways. First, Granger causality and VAR estimates have been retested for a different time horizon using daily data from 2000 to 2007. The second robustness check has been done by evaluating the outcome of VAR by changing the Cholesky ordering for the data from 2010 to 2017.http://eia.feaa.ugal.ro/images/eia/2019_3/Shalini_Talwar.pdf |
| spellingShingle | Shalini TALWAR Exploring Contemporaneous Correlations Among BRICS Stock Markets Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics |
| title | Exploring Contemporaneous Correlations Among BRICS Stock Markets |
| title_full | Exploring Contemporaneous Correlations Among BRICS Stock Markets |
| title_fullStr | Exploring Contemporaneous Correlations Among BRICS Stock Markets |
| title_full_unstemmed | Exploring Contemporaneous Correlations Among BRICS Stock Markets |
| title_short | Exploring Contemporaneous Correlations Among BRICS Stock Markets |
| title_sort | exploring contemporaneous correlations among brics stock markets |
| url | http://eia.feaa.ugal.ro/images/eia/2019_3/Shalini_Talwar.pdf |
| work_keys_str_mv | AT shalinitalwar exploringcontemporaneouscorrelationsamongbricsstockmarkets |