Has Co-Movement Dynamics in Brazil, Russia, India, China and South Africa (BRICS) Markets Changed After Global Financial Crisis? New Evidence from Wavelet Analysis

IF 0.7 Q4 BUSINESS, FINANCE

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2019-08-31 DOI:10.21315/aamjaf2019.15.1.1

M. Kannadhasan, Debojyoti Das

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.

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全球金融危机后，巴西、俄罗斯、印度、中国和南非(金砖国家)市场的联动动力发生了变化吗?小波分析的新证据

我们研究了全球金融危机前后巴西、俄罗斯、印度、中国和南非（金砖国家）股市回报率与美国股市回报率的联动动态变化。利用小波变换分析了1999A±2016年金砖国家和美国市场的股票收益率，GFC两侧的时间相位均为8年。我们发现在高频和低频下都存在协同运动。此外，在2008年全球金融危机前后也注意到了传染效应。此外，我们还报告称，尽管金砖国家投资组合具有高度相关性，但从中期来看，这有助于实现资产多元化。最后，在全球金融危机后时期，俄罗斯和中国的相关性动态发生了重大变化，而金砖国家市场之间的多重相关性动态保持不变。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asian Academy of Management Journal of Accounting and Finance BUSINESS, FINANCE-

CiteScore

1.50

自引率

0.00%

发文量

审稿时长

20 weeks

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