The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price

Hammoudeh, Shawkat; Sarı, Ramazan; Uzunkaya, Mehmet; Liu, Tengdong

doi:10.1016/j.matcom.2012.01.002

Cited by 75 publications

(41 citation statements)

References 21 publications

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“…These countries are different from one another in respect of their history, culture, language, and economic structure (Biggemann and Fam, 2011). It has been said that their strengths outweigh their weaknesses, taking reasonable risk in the development process (Hammoudeh et al, 2013;Xu and Hamori, 2012). The monthly time series data from 1992 to 2012 for five BRICS countries was employed to examine the causal relationship between various risk ratings and stock prices.…”

Section: Literature Reviewmentioning

confidence: 99%

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Risk ratings and stock prices: the causal nexus in BRICS countries

Pradhan

Hall

Filho

et al. 2014

IJBAAF

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This paper investigates the nature of causal relations between risk (economic risk, financial risk and political risk) and stock prices in five BRICS countries (Brazil, Russia, India, China and South Africa), applying the Granger causality test over a period of 20 years from 1992 to 2012. The study bridges a gap in the literature, as prior macroeconomic empirical investigation has been limited to a possible link between risk ratings and stock prices. Our modelling includes BRICS stock price indices and three risk ratings, namely economic risk ratings, financial risk ratings, and political risk ratings. To achieve our objective, two econometric methodologies were adopted: cross-country regressions and time series regressions. The empirical results of this study indicate that for Russia and China (and the BRICS counties as a group), there is a unidirectional causality between political risk and economic risk. Another noteworthy result was the fact that a unidirectional causality between economic risk and share prices were found for India and China (and the BRICS countries as a group), but not for the other countries under review. This indicates the important role that the stock market plays in the economies of India and China and hence provides an extra caution for prospective investors in these countries.

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Section: Literature Reviewmentioning

confidence: 99%

“…They are used in this study in the form of composite scores ranging from 10 to 100 points (Hammoudeh et al, 2013;Brooks et al, 2004;Erb et al, 1996).…”

Section: Literature Reviewmentioning

confidence: 99%

Risk ratings and stock prices: the causal nexus in BRICS countries

Pradhan

Hall

Filho

et al. 2014

IJBAAF

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“…Além disso, desde a última década, quando se foca em Índia e China, é possível observar que esses países têm observado altas taxas de crescimento econômico (vide Tabela 2), chegando a mais de 8% em alguns anos, que acabam respondendo por grande parcela do crescimento da economia mundial, contrastando com as atuais baixas taxas dos países desenvolvidos (HAMMOUDEH et al, 2012;MEDEIROS, 2011). China 8,4 8,3 9,1 10 10,1 11,3 12,7 14,2 9,6 9,2 10,4 9,3 7,8 Índia 5,7 3,9 4,6 6,9 7,7 9 9,4 10,1 6,2 5 11,2 7,7 4 Rússia 10 5,1 4,7 7,2 7,1 6,4 8,1 8, 5 5,2 -7,8 4,5 4,3 3,4 África do Sul 4,1 2,7 3,7 2,9 4, 5 5,3 5,6 5,5 3,6 -1,5 3 (HOLTBRÜGGE, KREPPEL, 2012;SANTOS, 2010;NAYYAR, 2008;WALZ, 2007).…”

Section: Brics: Um Novo Conceito?unclassified

“…Entretanto, foi somente em meados da década de 1990 que o país começou a se destacar por seu desempenho econômico, com altas taxas anuais de crescimento econômico (HIRAKAWA, AUNG, 2011;ANDRADE, 2006 Dentre as restrições potenciais da economia chinesa, têm-se a produtividade declinante do investimento e a incerteza sobre a sustentabilidade de seu sistema político, essa última também tem explicado grande parte do risco do mercado de capitais chinês (HAMMOUDEH et al, 2012;NAYYAR, 2008).…”

Section: Chinaunclassified

Decoupling e integração entre os mercados acionários dos BRICS

Carvalho

Fávero

Takamatsu

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“…O exame dos fatores que influenciam no mercado de ações tem sido examinado na literatura por diversos autores (Hammoudeh et al, 2013;Mensi et al, 2014;Antonakakis, Chatziantoniou e Filis, 2013;Kang e Ratti 2013;Ono, 2011;Filis, Degiannakis e Floros, 2011;Creti, Joets e Mignon, 2013;Tsai, 2012).…”

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A Influência De Fatores Globais Nos Retornos Do Mercado De Ações Brasileiro E De Outros Países Da América Latina

MARTINS¹

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Martins, Nathália da Silva; Fortunato, Graziela (Orientadora). A influência de fatores globais nos retornos do mercado de ações brasileiro e de outros países da América Latina. Rio de Janeiro, 2017. 52p This study examines the dependence structure between the stock markets of Brazil, Chile, Colombia, Mexico and Peru and the commodity price, the global stock market and its volatility, and the U.S. economic-policy uncertainty index.The methodology employed is the quantile regression because it allows to exam the dependence in different quantiles of the returns distribution, that is, under different market circumstances. The results showed that there is dependence on the global stock market in all countries. In general, commodity prices also influence the stock markets of Latin America, with the dependence structure being often asymmetric. The U.S. economic-policy uncertainty index doesn`t impact the stock markets of Chile and Peru, while the dependence structure is negative and asymmetric in Brazil, Colombia, and Mexico. Finally, the VIX index is not significant for the stock market returns in Brazil and Peru. As an additional contribution, the dependence of the brazilian stock market in relation to the Brazil economic-policy uncertainty index. The study identified that positive changes in the political-economic uncertainty index lead to declines in shareholder returns, when the market is bullish. The results of this study contribute to understand the movements of stock market returns in Brazil and other Latin American countries in relation to several factors, which are of interest to several stakeholders, such as international investors and portfolio managers.

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The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price

Cited by 75 publications

References 21 publications

Risk ratings and stock prices: the causal nexus in BRICS countries

Risk ratings and stock prices: the causal nexus in BRICS countries

Decoupling e integração entre os mercados acionários dos BRICS

A Influência De Fatores Globais Nos Retornos Do Mercado De Ações Brasileiro E De Outros Países Da América Latina

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