BRICS Emerging Markets Linkages: <i>Evidence from the 2008 Global Financial Crisis</i>
Ritesh Patel
What the paper says
The objective of this article is to examine the market integration among the BRICS (Brazil, Russia, India, China, and South Africa) emerging markets with respect to the global financial crisis of 2008 using cointegration analysis and factor analysis. The study finds that the BRICS emerging markets are cointegrated with each other during the pre- and post-2008 financial crisis period, and the markets have been moving toward greater integration after the 2008 financial crisis. The Granger causality and Johnsen cointegration tests show that the stock markets of China, India, and Russia have strong short-term and long-run relationships. Factor analysis reveals that the BRICS markets have become closer after the financial crisis. Brazil, Russia, India, and China appear to have close causal linkages. The market integration among BRICS markets is tested using correlation, Granger causality test, Johansen’s cointegration test, and factor analysis. The correlation coefficient among the stock markets of Russia, India, and China increases as markets increase in trade and geographical closeness. This article has practical implications for investors, governments, and multinational companies. <b>TOPICS:</b>Private equity, emerging, financial crises and financial market history, statistical methods
13 citations
Evidence weight
Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40
| F · citation impact | 0.66 × 0.4 = 0.26 |
| M · momentum | 0.80 × 0.15 = 0.12 |
| V · venue signal | 0.50 × 0.05 = 0.03 |
| R · text relevance † | 0.50 × 0.4 = 0.20 |
† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.