Co-movement among US, Frontier and BRIC Equity Markets after the Financial Crisis

Singh, Amanjot and Singh, Manjit 2018, Co-movement among US, Frontier and BRIC Equity Markets after the Financial Crisis, Global Business Review, vol. 19, no. 2, pp. 311-327, doi: 10.1177/0972150917713507.

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Title Co-movement among US, Frontier and BRIC Equity Markets after the Financial Crisis
Author(s) Singh, AmanjotORCID iD for Singh, Amanjot orcid.org/0000-0003-3575-4382
Singh, Manjit
Journal name Global Business Review
Volume number 19
Issue number 2
Start page 311
End page 327
Total pages 17
Publisher Sage Publications
Place of publication London, Eng.
Publication date 2018
ISSN 0972-1509
0973-0664
Keyword(s) BRIC
co-movement
frontier markets
USA
Summary The study attempts to capture static (long-run) as well as short-run time-varying co-movement among the US, frontier and Brazil, Russia, India and China (BRIC) equity markets (Morgan Stanley Capital International (MSCI) indices) in a multivariate framework after the recent global financial crisis, that is, during the easy money policy regime adopted by the emerged nations. The study employs Johansen cointegration and VAR ( p) ADCC-MVGARCH (1,1) models ranging from August 2010 to August 2015. Apart from this, efficient tests of causality inspired from Hill (2007, Journal of Applied Econometrics, 22(4), 747–765) are also employed to account for dynamic interactions between the co-movement coefficients. The Johansen cointegration model does not support the existence of a stochastic trend among the variables. However, asymmetric dynamic conditional correlation-multivariate generalized autoregressive conditional heteroskedastic model (ADCC-MVGARCH (1,1) model) results indicate time-varying co-movement among the underlying stock markets. The highest level of co-movement has been observed between the US and BRIC equity markets. On the other hand, co-movement between the US and frontier markets is found to be the lowest among others. On an average, 1-dollar long position in the US equity market should be shorted by 0.52 and 0.48 cents in the frontier and BRIC equity markets, respectively, across the sample time period. The efficient causality tests report indirect impact of co-movement between the US-frontier markets on the BRIC-frontier markets’ co-movement. The results critically support construction of a portfolio comprising stocks from the US, frontier and BRIC equity markets considering long-run and short-run co-movement among the variables.
Language eng
DOI 10.1177/0972150917713507
Indigenous content off
Field of Research 1503 Business and Management
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Persistent URL http://hdl.handle.net/10536/DRO/DU:30150404

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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