Co-movement among US, Frontier and BRIC Equity Markets after the Financial Crisis (Record no. 49664)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02402nam a2200205 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20180424144857.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 180424b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Singh, Amanjot |
| 9 (RLIN) | 31303 |
| 245 ## - TITLE STATEMENT | |
| Title | Co-movement among US, Frontier and BRIC Equity Markets after the Financial Crisis |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 311-327 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | The study attempts to capture static (long-run) as well as short-run time-varying co-movement among the US, frontier and Brazil, Russia, India and China (BRIC) equity markets (Morgan Stanley Capital International (MSCI) indices) in a multivariate framework after the recent global financial crisis, that is, during the easy money policy regime adopted by the emerged nations. The study employs Johansen cointegration and VAR (p) ADCC-MVGARCH (1,1) models ranging from August 2010 to August 2015. Apart from this, efficient tests of causality inspired from Hill (2007, Journal of Applied Econometrics, 22(4), 747–765) are also employed to account for dynamic interactions between the co-movement coefficients. The Johansen cointegration model does not support the existence of a stochastic trend among the variables. However, asymmetric dynamic conditional correlation-multivariate generalized autoregressive conditional heteroskedastic model (ADCC-MVGARCH (1,1) model) results indicate time-varying co-movement among the underlying stock markets. The highest level of co-movement has been observed between the US and BRIC equity markets. On the other hand, co-movement between the US and frontier markets is found to be the lowest among others. On an average, 1-dollar long position in the US equity market should be shorted by 0.52 and 0.48 cents in the frontier and BRIC equity markets, respectively, across the sample time period. The efficient causality tests report indirect impact of co-movement between the US-frontier markets on the BRIC-frontier markets’ co-movement. The results critically support construction of a portfolio comprising stocks from the US, frontier and BRIC equity markets considering long-run and short-run co-movement among the variables. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | BRIC |
| Uncontrolled term | co-movement |
| Uncontrolled term | frontier markets |
| Uncontrolled term | USA |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Singh, Manjit |
| 9 (RLIN) | 31304 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29349 |
| Host Itemnumber | 70279 |
| Main entry heading | BANIK, ARINDAM |
| Place, publisher, and date of publication | NEW DELHI SAGE PUBLISHING PVT. LTD. |
| Other item identifier | 5558624 |
| Title | GLOBAL BUSINESS REVIEW |
| International Standard Serial Number | 0972-1509 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 24/04/2018 | Vol 18, No 2/ 5558624JA4 | 5558624JA4 | 24/04/2018 | 24/04/2018 |