International Portfolio Diversification - Role of Emerging Economies-US Integration and Dynamic Linkages: An Empirical Study

Dasgupta, Ranjan

doi:10.5539/ijef.v8n6p100

Cited by 1 publication

(3 citation statements)

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“…As far as we know, this is the first study that analyses these financial markets in isolation, in the context of the Covid pandemic. However, there are studies that have analysed the integration and diversification of risk in BRIC markets, namely, the authors Tripathy (2015), Siddiqui (2015), Ranjan Dasgupta (2016). However, the approach was quite different from that followed in this paper.…”

Section: Introductionmentioning

confidence: 92%

“…Tripathy 2015, Siddiqui (2015), Ranjan Dasgupta (2016) analysed financial integration in BRIC's markets. Tripathy (2015) shows the existence of a bi-directional causal relationship between the Indian and Russian markets, the Brazilian and Russian markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…On the contrary, Siddiqui (2015) show that the stock markets of Brazil, Russia, India and China (BRIC) are not integrated in the long term and in the short term there are no causal relationships between these markets. Already Ranjan Dasgupta (2016) shows that the BRIC markets are integrated showing that these markets do not offer any opportunity for diversification with the USA.…”

Section: Literature Reviewmentioning

confidence: 99%

See 2 more Smart Citations

Integration in Bric Stock Markets: An Empirical Analysis

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Dias²,

Alexandre³

et al. 2020

International Scientific Conference EMAN – Economics &Amp; Management: How to Cope With Disrupted Times

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This paper aims to analyse financial integration in the markets of Brazil, China, India and Russia (BRIC’s), from July 2015 to June 2020, being the sample split in pre and during the global pandemic (Covid-19). In order to carry out this analysis, different approaches were undertaken to analyse two issues, namely, whether: (i) the global pandemic has accentuated the interdependencies in the BRIC financial markets? If so, how it has influenced the efficiency of portfolio diversification. The results suggest very significant levels of integration, in the Covid period these evidences diminish the chances of portfolio diversification in the long term. In turn, the analysis of the relationship between markets, in the short term, through the impulse response functions, in a period of global pandemic, shows positive/negative movements, with statistical significance, with persistence exceeding one week. In addition, there was no immediate adjustment in prices between markets, due to the high levels of shocks identified. Regarding the implementation of efficient portfolio diversification strategies, we consider that a good option for investors would be to avoid investments in stock markets. In this sense, one suggestion could be to invest in derivatives, gold and sovereign debt markets, with the purpose of diversifying portfolios and mitigating the risk arising from the global pandemic. The authors consider that the results achieved are of interest to investors seeking opportunities in these exchanges, as well as to policy makers to undertake institutional reforms in order to increase the efficiency of stock markets and promote the sustainable growth of financial markets.

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Section: Introductionmentioning

confidence: 92%