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Financial Contagion in the BRICS Stock Markets: An empirical analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis
Journal of Economics and Financial Analysis
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| Title |
Financial Contagion in the BRICS Stock Markets: An empirical analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis
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| Creator |
Dirceu Pereira
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University of Minho
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rolffcoelho@hotmail.com
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G01, G11, G12, G15, G18.
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| Subject |
Financial Contagion; Financial Crises; VAR Models; BRICS Stock Markets; Cointegration; Causality.
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| Description |
This research analyzes and extends the study of contagion for BRICS emerging stock markets in the context of the last two international financial crises: the Lehman Brothers Bankruptcy Crisis and the European Sovereign Debt Crisis. We investigate changes in the relationship and the co-movements between BRICS markets in response to international shocks that are originated in advanced markets like USA and Europe. Employing data of daily stock market indices of BRICS countries, this research tests for contagion, examining the interactions and characteristics of price movements of BRICS stock markets by applying cointegration, causality and VECM/Gonzalo-Granger statistic and variance decomposition methodology on stock returns as a measure of perceived country risk. The results exhibit that both long-run and short-run relationships patterns exist between BRICS stock markets and have drastically changed during turbulent periods compared with tranquil period, pointing towards the occurrence of contagion phenomenon among BRICS markets during the last two crises. These findings also indicate that changes in the USA and the Euro Zone indices affect BRICS stock markets in the short-run, acting as a leading indicator for investing in BRICS markets. Also imply an increasing degree of global market integration, bringing major implications for portfolio diversification and policy makers.
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| Source |
Journal of Economics and Financial Analysis
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2018
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2
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1
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1-44
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10.1991/jefa.v2i1.a11
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https://ojs.tripaledu.com/index.php/jefa/article/download/31/25
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application/pdf
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https://ojs.tripaledu.com/index.php/jefa/article/view/31/30
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text/html
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| Publisher |
Tripal Publishing House
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| Contributor |
—
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| Date |
2018-01-19
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Identifier |
https://ojs.tripaledu.com/index.php/jefa/article/view/31
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2521-6619
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2521-6627
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| Language |
eng
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| Relation |
https://ojs.tripaledu.com/index.php/jefa/article/view/31/25
https://ojs.tripaledu.com/index.php/jefa/article/view/31/30 |
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| Rights |
Copyright (c) 2018 Journal of Economics and Financial Analysis
http://creativecommons.org/licenses/by-nc-nd/4.0 |
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