期刊名称：Annals of Dunărea de Jos University. Fascicle I : Economics and Applied Informatics
印刷版ISSN：1584-0409
出版年度：2019
期号：3
页码：1-9
出版社：Dunarea de Jos University of Galati
摘要：In the current paper, the author has used daily closing price data of the selected equity
indices of the five BRICS countries from a period of 2010 to 2017 to understand the extent
of co-movement among them and to evaluate the existence of portfolio diversification
opportunities they present together. Econometric tools have been used to diagnose
unidirectional and/or bidirectional causality, long-run co-movement and short-run
contemporaneous correlations among these markets. The findings reveal potentially
profitable investment prospects. Vigour of the results has been tested in two ways. First,
Granger causality and VAR estimates have been retested for a different time horizon using
daily data from 2000 to 2007. The second robustness check has been done by evaluating
the outcome of VAR by changing the Cholesky ordering for the data from 2010 to 2017.
