The impact of BRICS formation on portfolio diversification: Empirical evidence from pre- and post-formation eras

Abstract

This paper aims at contributing to the international portfolio investment decisions among the emerging BRICS countries where individual and institutional investors seek diversification benefits and to help in advocating policy changes ABOUT THE AUTHOR

Is the Impact of COVID-19 Significant in Determining Equity Market Integration? Insights from BRICS Economies

“…However, the maximum eigenvalue test infers the existence of no cointegrating relationship between the BRICS equity markets in the pre-COVID-19 and COVID-19 phases, but the existence of such a relationship in the whole period. Since the trace test is more powerful than the maximum eigenvalue test of cointegration as the former considers all the “n–r” of the smallest eigenvalues (Al-Mohamad et al, 2020; Kasa, 1992), we concluded in favor of the existence of a cointegrating vector, that is, one equation representing the equilibrium relationship between the equity markets of BRICS economies in the pre-COVID-19 phase, COVID-19 phase and in the whole period.…”

“…The methodologies employed to carry out the empirical exercises in the study has been divided into two heads—first, the Johansen’s multivariate cointegration approach has been used to investigate the possibility of the existence of equity market integration in BRICS economies based on the argument that the stock markets are integrated when they share a long-run equilibrium relationship among themselves (Al-Mohamad et al, 2020; Bachman et al, 1996; Karim & Karim, 2012; Mishra & Mishra, 2020; Mohd. Yusof & Abd.…”

“…In this study, we have selected Sao Paulo Bovespa Index from Brazil, MOEX Russia Index from Russia, NIFTY 50 Index from India, Shanghai SE Composite Index from China and Johannesburg Stock Exchange All Share Index from South Africa as the representative equity markets based on the availability of weekly and monthly data. We have preferred to use weekly data on these stock price indices to examine the dynamics of the equity market integration in BRICS to overcome the econometric issues related to autocorrelation and noise associated with the daily observations (Al-Mohamad et al, 2020; Wang et al, 2003). The weekly data on these indices were compiled from yahoo finance for the period January 1, 2010 to July 28, 2020.…”

“…Furthermore, this limited knowledge also indicates conflicting evidence on the degree and dynamics of equity market integration in the BRICS region. We can classify the relevant studies according to three different strands: first, a group of studies found the presence of partial or incomplete integration of equity markets in BRICS economies (Al-Mohamad et al, 2020; Bai, 2008; Prakash et al,. 2017; Sharma et al, 2013; Singh & Sharma, 2012); second, another group of studies demonstrated presence of stronger and increasing integration among the BRICS stock markets (Bai, 2009; Bhar & Nikolova, 2009; Dasgupta, 2014; Joshi, 2013); and third, a few studies found no integration among the BRICS capital markets (Jeyanthi, 2012; Ouattara, 2017; Singh & Kaur, 2016).…”

The Impact of Ukrainian Crisis on the Connectedness of Stock Index in Asian Economies

“…A significant strand of literature on financial connectedness among developed countries with other emerging countries has emerged in the last two decades. Empirical studies such as (Wang et al [12], Simpson [13], Wong et al [14], Hunter [15], Chaudhry & Boldin [16], Donadelli & Paradiso [17], Al-Mohamad et al [18], and Bahloul & Ben Amor [19]) employed various correlation and cointegration techniques to measure financial integration among several financial assets and investments across the globe, such as the world's major stock indices. The empirical studies on financial connectedness of emerging stock markets in Asia became more attractive to research scholars due to the fast growing and rapid rise of Asian economies.…”