Summary of Articles

Article No 10:
Author’s Name: Lumengo Bonga-Bonga

Journal Name: MPRA (Munich Personal RePEc Archive) Paper No.66262

Year of Publication: 25 Aug 2015

Title Name: uncovering equity market contagion among BRICS

countries: an application of the multivariate GARCH model
Countries Selected for Studies: Brazil, China, India, South Africa, Russia

Time Period of Study: 1996-2012

Methodology Adopted: Date used on weekly equity returns on stock market

indices. Tests which are applied on data are VAR DCC GARCH

Major Findings: The findings of the paper indicate that Brazil and South Africa are equally
affected during crisis emanating from their respective countries. These findings indicate that
there is interdependence between South Africa and Brazil. However, the empirical results show
that South Africa is more affected by crisis originating from China, India and Russia then those
countries are by crisis originating from South Africa.

Future Research Guidelines: For further research we suggest that other volatility
measures be considered when analyzing the possibility of contagion within the BRICS grouping.

Article No 11:
Author’s Name: Walid Chkili, Due Khuong Nguyen

Journal Name: IPAG Business School

Year of Publication: This article is just a working paper only which is circulated
for discussion and comment only. Year is 2014-388
Title Name: Exchange rate movements and stock market returns in a
regime-switching environment: Evidence for BRICS countries
Countries Selected for Studies: Brazil, China, India, South Africa, Russia

Time Period of Study: 1997-2013

Methodology Adopted: Our dataset consist of weekly stock prices and UD dollar
exchange rate for the BRICS countries. Tests which are applied for this data are
MS-AR, MS-VAR

Major Findings: In this article we examine this intriguing issue for the BRICS countries in a
regime-switching environment, we first use the Markov switching autoregressive model to detect
regime-shift behavior in the stock returns of the BRICS markets, and find evidence to support the
existence of two distinct regimes for all markets, a low volatility regime and a high volatility
regime.

Second, by considering the exchange rate volatility over two exceptional periods of major crisis
and important instabilities, we find that the US dollar exchange rates of the BRICS countries
react differently to these major events, with the Chinese Yuan being mostly insensitive to the
movements of the US dollar value.

Finally the extension of our empirical investigation to the dynamic linkages between stock and
exchange rate returns via a MS-VAR model shows that exchange rate changes do not affect
stock market returns of BRICS countries, regardless of the regimes. Inversely, the impact from
stock market returns to exchange rates is significant for all countries, except South Africa and it
is more pronounced during the period of the high volatility.

Article No 12:
Author’s Name: Tsangyao Chang, Omid Ranjbar, and Charl Jooste

Journal Name: Iran.Econ.Rev.Vol.21, No.2, 2017

Year of Publication: November 2, 2017

Title Name: Stock Market Interactions between the BRICS and the
United States: Evidence from Asymmetric Granger Causality Tests
in the Frequency Domain
Countries Selected for Studies: United States, Brazil, China, India, South Africa,
Russia

Time Period of Study: July 1997 to March 2012

Methodology Adopted: We use weekly stock market indices for the US and the
BRICS countries and use Asymmetric Granger Causality Test in frequency
domain.

Major Findings: We study the stock market interactions between the US and BRICS
countries using an asymmetric Granger causality test based on the Frequency domain. We show
that asymmetric matters and that the effects of positive and negative shocks differ across the
duration of economic cycles. Granger causality in the time domain shows that US shocks has an
impact on all BRICS countries except for South Africa. The asymmetric Granger causality tests
in the frequency domain shows that some shocks are more prevalent in specific periods.
Negative or positive also matter – not all shocks emanating from the US Granger-causes every
country.

Our results also show that some of the shocks in the BRICS countries affect the US. However, it
is conditional in the type of shock.

Article No 13:
Author’s Name: Bwo-Nung Huang, Chin-Wei Yang, and John Wei-Shan Hu

Journal Name: International Review of Financial Analysis 9:3 (2000)

Year of Publication: 9 March 2000

Title Name: Causality and cointegration of stock markets among the

United States, Japan and the South China Growth Triangle
Countries Selected for Studies: United States, Japan, Hong Kong, Shanghai,
Shenzhen, Taiwan

Time Period of Study: October 2, 1992 to June 30, 1997

Methodology Adopted: We use daily stock prices at market close. Specifically we

take the Taiwan weighted Daily rate of return
Tests which are applied on Data are Unit root Test and cointegration tests with
regime shifts

Major Findings: Shanghai and the Shenzhen markets are found to be statistically
cointegrated. We suggest that an ease of restrictions on capital movements among SEGT
members could serve as a catalyst in forging greater market integration. In addition, Japan does
not form any cointegrating relation with members of SCGT. There exist a stronger Granger
causality between the US and members of SCGT. US prices changes can be used to predict
subsequent day price changes in the Hong Kong and the Taiwan stock markets. We have also
shown that price changes in the Hong Kong market lead that in the Taiwan market.

Finally, we have identified a strong feedback interaction between the Shanghai and the Shenzhen
markets.

Article No 14:
Author’s Name: Benjamin Miranda Tabak, Eduardo Jose Araujo Lima

Journal Name: Brazilian Journal of Business Economics Brazilian V.3 N.2

Year of Publication: In 2003

Title Name: Causality and Cointegration in Stock Markets: The

Case of Latin America
Countries Selected for Studies: Argentina, Brazil, Chile, Colombia, Mexico,
Peru, Venezuela and the US

Time Period of Study: January 3, 1995 and ends in March 1, 2001

Methodology Adopted: The data set used in this study comprises daily close
quotes for stock prices. All series are in US dollars.

Tests which are applied on this data are Unit Root Tests, Cointegrating Tests,
Causality Tests and impulse response functions

Major Findings: There seems to be no cointegrating among Latin America stock markets and
between these stock markets and the US stock markets. These results would lead to the
conclusion that US investors could benefit from diversification by investing in Latin America
stock markets.
However, there is some short-run relationship among these stock markets and Granger causality
tests have detected causality between the Brazilian stock market and other Latin America stock
markets.

Shocks in the US stock market have a heterogeneous effect on Latin America stock markets a
result which is in line with Pagan and Soydemir (2000). The Mexican stock market suffers a
much greater impact than other stock markets, which could be explained to a greater integration
between the US and Mexico.

Future Research Guidelines: Additional research could focus on the effect of possible
structural breaks in these stock markets and the linkages between them. Finally, macroeconomic
variables could be introduced in the analysis to link stock market relationships which were found
in this paper with variables such as exports, business cycles and monetary policy.

Article No 15:
Author’s Name: Berzanna Seydou Quattara

Journal Name: Eurasian Journal of Economics and Finance

Year of Publication: In 2017

Title Name: Re-Examining Stock Market integration among BRICS

countries
Countries Selected for Studies: Brazil, China, India, South Africa, Russia

Time Period of Study: In 2000 to 2015

Methodology Adopted: Data is taken quarterly for the period of 2000 to 2015
from stock market indices

Tests which are applied on this data are ADF, PP tests, Granger causality test,
VAR, impulse response function, variance decomposition analysis

Major Findings: This study has analyzed the short-run interlinkages and the long-run
cointegration level among BRICS stock markets. The ADF and PP are applied for evaluating the
level of stationarity of the data. The results indicate that the series are integrated of order 1.The
result showed no cointegration, meaning that no long-run relationship is observed among the
BRICS indices. Correlation test results found high positive linkage between the stock markets
Article No 16:
Author’s Name: Jitin Gambhir and Jitender Bhandari

Journal Name: Asia-Pacific Business Review

Year of Publication: In March 2011

Title Name: BRIC stock market: An econometric analysis

Countries Selected for Studies: Brazil, Russia, India and China

Time Period of Study: 2004 to 2010

Methodology Adopted: Return of the indexes shall be used to find out the
cointegration among the stock markets, and daily returns have been calculated by
taking the natural logarithm of the daily closing price relatives.

Test or tools which are applied on this data are correlation, stationarity of time
series, cointegration and causalities between the stock market using Eviews.

Major Findings: This study is a continuation of research on the issue of growing

interdependency among the stock markets. It is observed that stock prices among these countries
are trending together. Furthermore, it provided that no stock market is playing a dominant role in
influencing other markets. It can be concluded that the interdependencies among the stock
markets in the world has increased and no clear direction of relationships exist in the sense of
Granger Causality indicating the fact that influence on few markets has eroded over a period of
time. It can be concluded that stock market integration and causation between different markets
have changed over the time.