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Journal article
Do global factors impact BRICS stock markets? A quantile regression approach
Emerging markets review, v 19, pp 1-17
Jun 2014
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines the dependence structure between the emerging stock markets of the BRICS countries and influential global factors. Using the quantile regression approach, our results for the period from September 1997 to September 2013 show that the BRICS stock markets exhibit dependence with the global stock and commodity markets (S&P index, oil, and gold) as well as changes in the U.S. stock market uncertainty (CBOE Volatility Index). This dependence structure is often asymmetric and affected by the onset of the recent global financial crisis. By contrast, the U.S. economic policy uncertainty has no impact on the BRICS stock markets.
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Details
- Title
- Do global factors impact BRICS stock markets? A quantile regression approach
- Creators
- Walid Mensi - Department of Finance and Accounting, University of Tunis El Manar, B.P. 248, C.P. 2092 Tunis Cedex, TunisiaShawkat Hammoudeh - Drexel UniversityJuan Carlos Reboredo - University of Santiago de CompostelaDuc Khuong Nguyen - IPAG Business School
- Publication Details
- Emerging markets review, v 19, pp 1-17
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000338615600001
- Scopus ID
- 2-s2.0-84899742919
- Other Identifier
- 991019167717704721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics