Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach

Nasr, Adnen Ben; Cuñado, Juncal; Demirer, Rıza; Gupta, Rangan

doi:10.3390/risks6030094

Cited by 14 publications

(17 citation statements)

References 47 publications

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“…They concluded that the CDS spread is the most important indicator for the countries that affect global risk. Similar to this study, Nasr et al [13], Korotaev et al [14], Acosta et al [15], and Shostya and Banai [16] also tried to evaluate the global risk of different countries. Additionally, Avdjiev et al [17] analyzed that the dollar exchange rate is a significant factor of global risk.…”

Section: A Literature Review Of Global Risks and Financial Crisesmentioning

confidence: 53%

Analyzing the Global Risks for the Financial Crisis after the Great Depression Using Comparative Hybrid Hesitant Fuzzy Decision-Making Models: Policy Recommendations for Sustainable Economic Growth

2018

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The aim of this study is to analyze the effects of global risks on financial crises. For this purpose, five different outstanding crises after the Great Depression of 1929 are taken into the consideration. Additionally, four different dimensions are selected regarding global risk by considering the Global Risk Report. Moreover, the hesitant fuzzy DEMATEL, the hesitant fuzzy VIKOR, and the hesitant fuzzy TOPSIS methodologies are used to reach this objective. We concluded that, with respect to global risks, the industry-based dimension has the highest importance in comparison to other dimensions. In addition, we also identified that the 2010 European debt crisis and the 1982 Latin American debt crisis were the most influenced crises in terms of global risk. The main reason for this is that the macroeconomic problems such as high inflation and unemployment had negative impacts on the industries of these countries. Another important point is that the results of the hesitant fuzzy VIKOR and hesitant fuzzy TOPSIS models are quite different, but they are the most similar when the experts do not reach the consensus. This situation shows that this analysis is quite appropriate with respect to the hesitant approach. While considering these aspects, we recommended that countries should firstly focus on the solutions related to industry level problems in order to minimize the global risk. Owing to this issue, it can be more possible to reach sustainable economic growth in the world.

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Section: A Literature Review Of Global Risks and Financial Crisesmentioning

confidence: 53%

Analyzing the Global Risks for the Financial Crisis after the Great Depression Using Comparative Hybrid Hesitant Fuzzy Decision-Making Models: Policy Recommendations for Sustainable Economic Growth

2018

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“…Nasr et al ( 2018) [22] provide a qualitative overview regarding the linkages between BRICS countries and highlight the heterogeneity in stock market returns based on several underlying criteria. Their main conclusion is that BRICS countries react differently regarding the rating changes, depending upon their connections with the global market variables.…”

Section: Literature Reviewmentioning

confidence: 99%

Econophysics Techniques and Their Applications on the Stock Market

2022

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Exact sciences have achieved many results, validated in practice. Although their application in economics is difficult due to the human factor involved, the lack of conservation laws, and experimental difficulties, it must be highlighted that the consistent bibliography gathered in recent years in this field encourages the econophysics approach. The objective of this article is to validate and/or define a few stock strategies, based on known results from mathematics, physics, and chemistry. The scope of this research demonstrates that statistics (in portfolio theory), geometry (in technical analysis), or financial mathematics can be used in the capital market. Many of the exact science results corresponded to strategies applicable to investors. Unlike the material world, financial markets have additional components that must be considered: human psychology, sociology at the firm level, and behavioral unpredictability. The findings obtained in this research enable the enormous vastness of the exact science results that can be a fertile source for new investment strategies. This article concludes that in order for mathematical theories to be applied to the stock market, it is essential that the start-up conditions (initial assumptions) are validated in the market.

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“…Additionally, Balcilar et al (2017) showed that Brazil, Russia, India, China and South Africa (BRICS) stock returns demonstrated heterogeneous exposures to geopolitical risks, with the highest effect being in Russia. In this context, Nasr et al (2018) showed through non-linear ARDL that there exists a high heterogeneity in BRICS returns’ interaction with country-based risk components. They concluded that bad news or negative changes in the ratings have a greater effect on stock returns and that there is a similarity in the interaction of the BRICS stock market with rating changes and its interaction with global indicators.…”

Section: Review Of Literaturementioning

confidence: 99%

Effects of Country Risk Shocks on the South African Bond Market Performance Under Changing Regimes

Muzindutsi

Obalade

2020

Global Business Review

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Country risk can significantly impact the flow of investment within a country. The bond market is particularly vulnerable to country risk shocks, as such risks affect government borrowing and lending rates. This article analysed the effect of country risk components on the South African (SA) bond market performance and stability under different market regimes. A sample period of monthly data, spanning January 1995 to December 2018, was selected to reflect South Africa’s shift towards democracy (post 1994). Two-stage Markov switching models (MSMs) were utilized to test the effect of country risk components on bond market return and yield spreads. First, the study showed that both returns and spread undergo a longer bullish trend. Second, the effect of country risks on bond returns was shown to be significant only in the bear regime in which bond returns increase with a change in political and economic risks and decrease with a change in financial risk. Third, the effect of the country risk components on yield spreads was shown to be not significant in any regime. We concluded that the response of bond market performance to country risk shocks is influenced by market cycles, and we provide evidence to support the adaptive market hypothesis (AMH) in the SA bond market.

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Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach

Cited by 14 publications

References 47 publications

Analyzing the Global Risks for the Financial Crisis after the Great Depression Using Comparative Hybrid Hesitant Fuzzy Decision-Making Models: Policy Recommendations for Sustainable Economic Growth

Analyzing the Global Risks for the Financial Crisis after the Great Depression Using Comparative Hybrid Hesitant Fuzzy Decision-Making Models: Policy Recommendations for Sustainable Economic Growth

Econophysics Techniques and Their Applications on the Stock Market

Effects of Country Risk Shocks on the South African Bond Market Performance Under Changing Regimes

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