Skip to content
Home
About Us
Resources
Profiles Metrics
Authors Directory
Institutions Directory
Top Authors
Top Institutions
Top Sponsors
AI Digest
Contact Us
Menu
Home
About Us
Resources
Profiles Metrics
Authors Directory
Institutions Directory
Top Authors
Top Institutions
Top Sponsors
AI Digest
Contact Us
Home
About Us
Resources
Profiles Metrics
Authors Directory
Institutions Directory
Top Authors
Top Institutions
Top Sponsors
AI Digest
Contact Us
Menu
Home
About Us
Resources
Profiles Metrics
Authors Directory
Institutions Directory
Top Authors
Top Institutions
Top Sponsors
AI Digest
Contact Us
Publication Details
AFRICAN RESEARCH NEXUS
SHINING A SPOTLIGHT ON AFRICAN RESEARCH
business, management and accounting
Do global factors impact BRICS stock markets? A quantile regression approach
Emerging Markets Review, Volume 19, Year 2014
Notification
URL copied to clipboard!
Description
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. © 2014 Elsevier B.V.
Authors & Co-Authors
Mensi, Walid
Tunisia, Tunis
Université de Tunis el Manar
Hammoudeh, Shawkat M.
United States, Philadelphia
Lebow College of Business
France, Paris
Ipag Business School
Reboredo, Juan C.
Spain, Santiago de Compostela
Universidad de Santiago de Compostela
Nguyen, Duc Khuong
France, Paris
Ipag Business School
Statistics
Citations: 373
Authors: 4
Affiliations: 4
Identifiers
Doi:
10.1016/j.ememar.2014.04.002
ISSN:
15660141
Research Areas
Health System And Policy