Has Co-Movement Dynamics in Brazil, Russia, India, China and South Africa (BRICS)
Markets Changed After Global Financial Crisis? New Evidence from Wavelet
Analysis
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引用次数: 5
Abstract
We investigate the changes in the co-movement dynamics in the stock market returns of Brazil, Russia, India, China and South Africa (BRICS) with that of US during pre and post-global financial crisis (GFC). The stock returns of BRICS and the US markets over the period of 1999A±2016 are analysed using wavelet transformation, with equal time phase of eight years on both sides of GFC. We find the existence of co-movement at both high and low frequencies. In addition, the contagion effect is also noted around the GFC year 2008. Further we also report that despite the high correlation of BRICS portfolio, it facilitates asset diversification benefits in the medium run. Finally, there is significant changes in correlation dynamics for Russia and China during post-GFC period, whereas the multiple correlations dynamics amongst BRICS markets remain unchanged.
期刊介绍：
To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets
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