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Angkinand, A.P., Barth, J.R. and Kim, H. (2009) Spillover Effects from the U.S. Financial Crisis: Some Time-Series Evidence from National Stock Returns. In: Gup, B., Ed., The Financial and Economic Crises: An International Perspective, Edward Elgar Publishing, Cheltenham.

has been cited by the following article:

• TITLE: Do BRIC Countries’ Equity Markets Co-Move in Long Run?

  AUTHORS: Amanjot Singh, Parneet Kaur

  KEYWORDS: Co-Movement, Cointegration, Financial Crisis, Johansen Approach, Portfolio

  JOURNAL NAME: Theoretical Economics Letters, Vol.6 No.2, March 31, 2016

  ABSTRACT: The present study attempts to empirically analyze the co-movement in the BRIC countries’ stock markets in the long run by employing a Johansen cointegration technique. We have divided the sample period into two parts to account for the co-movement during the recent financial crisis. The results indicate no long run co-movement among the BRIC countries as a whole during both of the sample periods. However, the pairwise and multivariate cointegration tests highlight the existence of a co-movement among the Brazilian, Russian and the Chinese markets, excluding Indian during the financial crisis and the period afterwards. Furthermore, the exclusion tests highlight a significant contribution of the Brazilian market in the long run causality in the context of both the Russian and Chinese markets. The Russian market acts as a source of any market shock, further been absorbed by the Brazilian and Chinese markets at the pace of 4 percent per week.