TITLE:
The Impact of US Stock Market on the Co-Movements of BRIC Stock Markets—Evidence from Linear Conditional Granger Causality
AUTHORS:
Lu Wang, Yang Yang, Yuanhui Ma
KEYWORDS:
Stock Market, BRIC, Co-Movement, Conditional Granger Causality
JOURNAL NAME:
Open Journal of Statistics,
Vol.7 No.5,
October
27,
2017
ABSTRACT: This paper investigates the impact of the US stock
market on the co-movements among the BRIC stock markets using conditional
Granger causality which allows a comprehensive exploration on direct and
indirect causality. The results from linear
conditional causality test show a strong influence of the US stock market on
the co-movements of BRIC. Our findings identify the US stock market which is the main inner factor making major contributions
to the co-movements among the BRIC stock markets. Further, this study
provides robust evidence that the co-movements cannot be significantly
influenced by the common information factor. These findings show a more complete picture of the
relationships between the US and the BRIC stock markets, offering important
implications for policymakers and investors.