ISSN 2736-1721
Global Journal of Business Management ISSN 6731-4538 Vol. 3 (11), pp. 001-009, November, 2009. © International Scholars Journals
Full Length Research Paper
Behaviour of emerging stock markets in the global financial meltdown: Evidence from bric-a
Bora Aktan1*, Pinar Evrim Mandaci2, Baris Serkan Kopurlu3 and Bülent Ersener4
1Department of Finance, Faculty of Economics and Administrative Sciences, Yasar University, Selcuk Yasar Campus, University Caddesi, No. 35-37, 35100 Bornova, Izmir, Turkey.
2Dokuz Eylül University, Faculty of Business Administration, Kaynaklar Campus, 35160 Buca Izmir, Turkey.
3Yasar University, Faculty of Economics and Administrative Sciences, Selcuk Yasar Campus Universite Caddesi, No 35-37, Bonovar, Izmir, Turkey.
4Assistant Manager, Is Investment Securities, Inc., Akdeniz Caddesi, No.14 Birsel Is Merkezi, D.501 Alsancak, Izmir, Turkey.
Accepted 17 June, 2009
Abstract
This paper examines the emerging market indices of Brazil, Russia, India, China, and Argentina (BRICA) and investigates the linkages among the stock markets of the BRICA countries and their relations with the US market. We employ the vector auto regression (VAR) techniques to model the interdependencies and Granger causality test to find evidence of a short-run relationship between these markets. In addition, we employ the Impulse Response test to evaluate the persistence of shocks by using daily data from 1st January, 2002 to 18th February, 2009. Our findings show that the US market has a significant effect on all BRICA countries in the same trading day. The most integrated markets to the BRICA countries are Russia and Brazil; the least integrated ones are China and Argentina. The Granger causality test supports our VAR calculations and shows that Russia influences all other countries and Brazil affects Argentina, Russia and India. However, China only affects Argentina and Russia. Impulse response test shows that all countries respond to an anticipated shock immediately and recover in nearly five or six days.
Key words: Emerging markets, global financial crisis, integration, correlation, spillover.