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BRICS Emerging Markets Linkages: Evidence from the 2008 Global Financial Crisis

Ritesh Jayantibhai Patel
The Journal of Private Equity Fall 2019, 22 (4) 42-59; DOI: https://doi.org/10.3905/jpe.2019.1.089
Ritesh Jayantibhai Patel
is an assistant professor in the Institute of Management at Nirma University in Ahmedabad, India
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Abstract

The objective of this article is to examine the market integration among the BRICS (Brazil, Russia, India, China, and South Africa) emerging markets with respect to the global financial crisis of 2008 using cointegration analysis and factor analysis. The study finds that the BRICS emerging markets are cointegrated with each other during the pre- and post-2008 financial crisis period, and the markets have been moving toward greater integration after the 2008 financial crisis. The Granger causality and Johnsen cointegration tests show that the stock markets of China, India, and Russia have strong short-term and long-run relationships. Factor analysis reveals that the BRICS markets have become closer after the financial crisis. Brazil, Russia, India, and China appear to have close causal linkages. The market integration among BRICS markets is tested using correlation, Granger causality test, Johansen’s cointegration test, and factor analysis. The correlation coefficient among the stock markets of Russia, India, and China increases as markets increase in trade and geographical closeness. This article has practical implications for investors, governments, and multinational companies.

TOPICS: Emerging markets, financial crises and financial market history, statistical methods

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The Journal of Private Equity: 22 (4)
The Journal of Private Equity
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BRICS Emerging Markets Linkages: Evidence from the 2008 Global Financial Crisis
Ritesh Jayantibhai Patel
The Journal of Private Equity Aug 2019, 22 (4) 42-59; DOI: 10.3905/jpe.2019.1.089

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BRICS Emerging Markets Linkages: Evidence from the 2008 Global Financial Crisis
Ritesh Jayantibhai Patel
The Journal of Private Equity Aug 2019, 22 (4) 42-59; DOI: 10.3905/jpe.2019.1.089
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