Do global factors impact BRICS stock markets? A quantile regression approach

Abstract

This paper examines the dependence structure between the emerging stock markets of the BRICS countries (Brazil, Russia, India, China and South Africa) and influential global factors (the S&P 500 index, the commodity markets, the global stock market uncertainty and the US economic policy uncertainty). Using the quantile regression approach, our results for the period from September 1997 to September 2013 show that the BRICS stock markets exhibit asymmetric dependence with the global stock market and this dependence has not changed since the onset of the recent global financial crisis. Moreover, oil prices display a symmetric tail independence with all those BRICS markets (except that of South Africa), even though the dependence between oil and BRICS markets significantly increased with the onset of the financial crisis. The gold price returns co-move with those of the BRICS markets at both the upper and lower tails (except for Russia and China) but the degree of comovement has decreased since the crisis. Finally, the stock market uncertainty (VIX) is found to drive the stock returns in a bear market but this relationship is insignificant in a bull market. On the other hand, the economic policy uncertainty has no impact on the BRICS stock markets both before and since the onset of the financial crisis. These results have implications for international investors in terms of risk management which should vary according to changes in the economic and financial global factors.

The Impact of US Stock Market on the Co-Movements of BRIC Stock Markets—Evidence from Linear Conditional Granger Causality

“…Therefore, the fluctuation of the US stock market is merely one of the important factors to af- fect the relationships across the BRIC stock market. The results are similar to Mensi et al [2]. They find the BRIC countries show a strong linkage not only with the world stock markets, but also with the global commodity markets(oil and gold).…”

“…Lehkonen and Heimonen [1], Mensi et al [2] and Xu and Hamori [3] have confirmed that the US stock market can have a profound impact on each of the BRIC markets. However, limited studies viewpoints.…”

Do Indian Economic Activities Impact ASEAN-5 Stock Markets?

“…These emerging markets are less likely to be affected by crisis coming from emerging countries. 4 A similar finding was observed by Mensi, Hammoudeh, Reboredo and Nguyen (2014). They found that global factors impact the BRICs' stock markets, particularly the onset of the recent global financial crisis.…”

IFRS, synchronicity, and financial crisis: the dynamics of accounting information for the Brazilian capital market

“…The first relates to 2008 and 2009 (international crisis) as a reflection of the US financial crisis (subprime securities crisis). According to Mensi, Hammoudeh, Reboredo, and Nguyen (2014), the American financial crisis directly and indirectly impacted the Brazilian market for debt securities (bonds) and the stock market. The second period relates to 2014 and 2015 (domestic crisis), in which a strong retraction in the Brazilian economy was identified.…”