Title: Returns dynamics and global integration of BRICS stock markets

Authors: Akash Dania; D.K. Malhotra

Addresses: Graduate Business Programs, School of Business, Alcorn State University, 9 Campus Drive, Natchez, MS, 39120, USA ' School of Business Administration, Philadelphia University, 4201 Henry Avenue, Philadelphia, PA, 19144, USA

Abstract: The Brazil, Russia, India, China and South Africa (BRICS) nations are currently among the fastest growing emerging markets. We empirically analyse the BRICS equity market returns' interdependence on the leading global markets of USA, UK, France and Germany. Results from this study suggest that returns of all BRICS nations are interdependent with the returns of USA, UK, France, and Germany, with varying degree and magnitude. By means of GARCH, we also find evidence of volatility spillover from major global markets to BRICS markets. We explain the observed phenomenon of growing influence - albeit with varying effects - of mature global markets on BRICS equity markets due to the nature of growing trade linkages.

Keywords: emerging markets; Brazil; Russia; India; China; South Africa; BRICS; global integration; volatility spillover; vector autoregression; VAR; GARCH.

DOI: 10.1504/IJBEM.2013.054917

International Journal of Business and Emerging Markets, 2013 Vol.5 No.3, pp.217 - 233

Received: 16 May 2012
Accepted: 10 Nov 2012
Published online: 13 Nov 2013 *

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