Journal article
Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models
Review of international economics, v 24(1), pp 1-19
01 Feb 2016
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study investigates the asymmetric linkages between the five BRICS (Brazil, Russia, India, China and South Africa) countries' stock markets and three country risk ratings (financial, economic and political risk) in the presence of major global economic and financial factors. Using the dynamic panel threshold models, we find evidence of asymmetry in most cases. However, the significance and the signs of the effects of these risk ratings on the BRICS market returns differ across the lower and upper regimes. Furthermore, improvements in the global stock, West Texas Intermediate (WTI) and gold markets enhance the BRICS stock market performance. Increases in implied volatility indices lead to drops in the BRICS markets.
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Details
- Title
- Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models
- Creators
- Walid Mensi - Department of Finance and Investment, College of Economics and Administrative SciencesAl Imam Mohammad Ibn Saud Islamic UniversityP.O Box 5701Riyadh Saudi ArabiaShawkat Hammoudeh - Supreme Council Of HealthSeong-Min Yoon - Department of EconomicsPusan National UniversityJangjeon2-DongGeumjeong-Gu Busan609-735 KoreaDuc Khuong Nguyen - IPAG Business School
- Publication Details
- Review of international economics, v 24(1), pp 1-19
- Publisher
- Wiley
- Number of pages
- 19
- Grant note
- Al Imam Muhammad Ibn Saud Islamic University (IMSIU) Ministry of Education of the Republic of Korea NRF-2013S1A3A2042747 / National Research Foundation of Korea
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000373775600001
- Scopus ID
- 2-s2.0-84956725323
- Other Identifier
- 991019167600804721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics