Economic integration and stock market linkages: evidence from South Africa and BRIC

Thabo J. Gopane
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引用次数: 1

Abstract

Purpose This study examines the impact of regional economic integration (REI) on stock market linkages in the BRICS (Brazil, Russia, India, China and South Africa) economic bloc. In this type of study, the BRICS framework is an appealing empirical case, given its uncommon characteristics. For example, BRICS member states come from remote geographic locations (Africa, Asia, Europe and South America) and have contrasting socioeconomic profiles. Design/methodology/approach An empirical design is framed from the perspective of bilateral trade between South Africa and BRIC. The author accepts trade intensity as a proxy of regional economic integration and then examines the resulting effect on the stock market co-movement within BRIC. The study applies a two-step econometric procedure of the BEKK-MGARCH and panel data models. Findings Overall, bilateral trade, as a proxy of economic inwctegration, is associated with an increase in stock market integration. This positive relationship is particularly observed during episodes of surplus trade, and more interestingly, was initiated three years after BRICS’ existence and continues to grow at an increasing rate. Practical implications The study outcome should benefit international trade practitioners and global investors interested in portfolio diversification or concerned with risk spillovers. Originality/value First, notwithstanding South Africa's significant economic presence in the African continent, to the best of the author’s knowledge, this is the first study to empirically evaluate the BRICS economic integration on their stock market linkages from the perspective of South Africa. The value of this contribution is that further work may investigate the bidirectional spillover impact conveyed by South Africa's trade interactions within the juxtaposition of Africa and BRICS economies. Second, given that research on REI and stock market integration has historically concentrated on mature regional blocs of Europe, Asia, South and North America, the current study advances knowledge while correcting the prevailing literature imbalance.
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经济一体化与股市联系:来自南非和金砖四国的证据
本研究探讨了区域经济一体化(REI)对金砖国家(巴西、俄罗斯、印度、中国和南非)经济集团股票市场联系的影响。在这类研究中,金砖国家框架是一个很有吸引力的经验案例,因为它具有不同寻常的特点。例如,金砖国家成员国来自遥远的地理位置(非洲、亚洲、欧洲和南美),社会经济状况也存在差异。设计/方法/方法从南非和金砖四国之间的双边贸易的角度进行实证设计。作者接受贸易强度作为区域经济一体化的一个代表,然后考察了由此产生的对金砖四国股票市场共同运动的影响。本研究采用BEKK-MGARCH和面板数据模型的两步计量经济学程序。总体而言,双边贸易作为经济一体化的代表,与股市一体化的增加有关。这种积极的关系在贸易顺差时期尤其明显,更有趣的是,这种关系是在金砖国家成立三年后开始的,并继续以越来越快的速度增长。研究结果应有利于国际贸易从业者和对投资组合多样化感兴趣或关注风险溢出的全球投资者。首先,尽管南非在非洲大陆具有重要的经济地位,但据作者所知,这是第一个从南非的角度对金砖国家的经济一体化及其股票市场联系进行实证评估的研究。这一贡献的价值在于,进一步的工作可能会研究南非在非洲和金砖国家经济并存的情况下贸易互动所带来的双向溢出影响。其次,考虑到历史上对REI和股票市场整合的研究主要集中在欧洲、亚洲、南美和北美等成熟的区域集团,本研究在推进知识的同时纠正了普遍存在的文献失衡。
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来源期刊
Journal of Economics, Finance and Administrative Science
Journal of Economics, Finance and Administrative Science Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
5.10
自引率
20.80%
发文量
23
审稿时长
12 weeks
期刊介绍: The Universidad ESAN, with more than 50 years of experience in the higher education field and post graduate studies, desires to contribute to the academic community with the most outstanding pieces of research. We gratefully welcome suggestions and contributions from business areas such as operations, supply chain, economics, finance and administration. We publish twice a year, six articles for each issue.
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