Research Paper on Are BRICS Members’ Stock Markets Integrated? An analysis of co-integration based on regime shifts

Description

Title: Are BRICS Members’ Stock Markets Integrated? An analysis of co-integration based on regime shifts

Abstract: Many researchers ignore the structural breaks in long-run stock price relationships because long-run relationships and structural breaks are frequently confused. In this study, we use a bivariate framework to look at the long-term relationships between stock prices in the BRICS nations. The long-run relationships between 2004 and 2018 were examined using a non-linear threshold cointegration test, which endogenously incorporates potential regime shift behaviors. We employed the single- and double-structural break-tolerant Johansen cointegration test, the Gregory and Hansen cointegration test, and the Hatemi-J regime shift cointegration test. The main result of this study supports the existence of cointegration among the stock markets of the BRICS countries with two endogenous structural breaks. The study demonstrates that ambiguous results can result from ignoring structural breaks in long-run series data. It also demonstrates that, following two endogenous structural breaks, there is no cointegration between these stock markets (Brazil and China, India and China, and China and South Africa). These empirical results lend support to hypotheses regarding alterations in more than just the connections between the BRICS stock markets. Market collapse implies a lack of arbitrage activity, and vice versa. Destabilized markets therefore indicate that diversifying an investor’s portfolio internationally can result in long-term gains. Although the long-term benefits of diversification are very limited, they are not likely to be completely eliminated in practice. As a result, there is a chance to make an unusual profit in such a market, and as a result, the assumptions about market efficiency may also be broken.

Keywords: endogenous structural break; BRICS stock markets; diversification; Gregory–Hansen; Hatemi-J; Johansen cointegration

Paper Quality: SCOPUS / Web of Science Level Research Paper

Subject: Economics

Writer Experience: 20+ Years

Plagiarism Report: Turnitin Plagiarism Report will be less than 10%

Restriction: Only one author may purchase a single paper. The paper will then indicate that it is out of stock.

What will I get after the purchase?

A turnitin plagiarism report of less than 10% in a pdf file and a full research paper in a word document.

In case you have any questions related to this research paper, please feel free to call/ WhatsApp on +919726999915