Inter-linkages and causal relationships between US and BRIC equity markets: An empirical investigation

Amanjot Singh, Manjit Singh
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引用次数: 19

Abstract

The US and BRIC economies are sharing increasing trade as well as financial linkages since the last decade. In this regard, the present study attempts to capture long run and short run inter-linkages and causal relationships between the US and BRIC equity markets during different time frames, i.e., pre-crisis, crisis and post-crisis periods. The study employs Johansen cointegration, VAR, VECM, Toda-Yamamoto's Granger causality, generalized impulse responses, and variance decomposition models to account for the said linkages. For the full sample period analysis, Gregory–Hansen cointegration and Diebold and Yilmaz's (2011) spillover index approaches are also employed. Overall, the results report changing market dynamics and partial integration across the years 2004–2014.

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美国和金砖四国股票市场的内在联系和因果关系:一项实证调查
自过去10年以来,美国和金砖四国经济体之间的贸易和金融联系日益紧密。在这方面,本研究试图捕捉美国和金砖四国股票市场在不同时间框架(即危机前、危机期间和危机后时期)之间的长期和短期内在联系和因果关系。本研究采用Johansen协整、VAR、VECM、Toda-Yamamoto的Granger因果关系、广义脉冲响应和方差分解模型来解释上述联系。对于全样本期分析,还采用了Gregory-Hansen协整和Diebold and Yilmaz(2011)的溢出指数方法。总体而言,结果报告了2004-2014年间不断变化的市场动态和部分整合。
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