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999			_c49664 _d49664
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008			180424b ||||| |||| 00| 0 eng d
100			_aSingh, Amanjot _931303
245			_aCo-movement among US, Frontier and BRIC Equity Markets after the Financial Crisis
300			_a311-327 p.
520			_aThe 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			_aBRIC
653			_aco-movement
653			_afrontier markets
653			_aUSA
700			_aSingh, Manjit _931304
773	0		_029349 _970279 _aBANIK, ARINDAM _dNEW DELHI SAGE PUBLISHING PVT. LTD. _o5558624 _tGLOBAL BUSINESS REVIEW _x0972-1509
942			_2ddc _cJA-ARTICLE