ZENITH International Journal of Multidisciplinary Research
Year : 2019, Volume : 9, Issue : 4
First page : ( 267) Last page : ( 275)
Online ISSN : 2231-5780.

Integration of brics stock markets an empirical study

Dr. Allimuthu S.

Associate Professor, Grg School of Management Studies PSGR Krishnammal College for Women, Peelamedu, Coimbatore, allimuthu@grgsms.ac.in

Jel Classification: C12, F15, F36, G15.

Online published on 8 May, 2019.

Abstract

The present study examines the short-run and long-run relationship between the stock markets of BRICS namely Brazil, Russia, India, China and South Africa. The study uses the daily closing price of major stock indices of these countries from 1^st January 2000 to 31^st December 2017. The research methodology tools include Augmented Dickey-Fuller (ADF) test and Phillips Perrson (PP) test for testing of stationarity and use of VAR (Value at Risk) techniques like Granger Causality test and Johansen and Juselius co-integration test in order to find the integration among the BRICS stock exchanges. The study found evidence for both the short-run and long-run relationship between the BRICS stock exchanges.

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Keywords

Unit root, Stationarity, Co-integration, Causality, BRICS market.

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