Comovement Between Pakistani Equity Market and BRICS Countries: An Investigation Through Co-Integration Analysis
Abstract
This study is conducted to check the co-movement between the equity markets of BRICS countries that is Brazil, Russia, India and China with Pakistan. These countries are selected because they are world emerging markets. Co-movement is checked through co-integration analysis. Ten years monthly stock indices are taken for analysis that is from July 2006 to June 2016. No cointegration is found between Pakistani equity market and the BRICS countries. So, this favours the international portfolio investors. Furthermore, Brazilian market is found to be the most attractive market for the portfolio investors in order to maximize their wealth by minimizing their risk levels. The future research can be extended by using high frequency data in order to check the comovement and cointegration.References
Aktan, B., et al. (2007). Financial performance impacts of corporate entrepreneurship in emerging markets: A case of Turkey. Faculty of Commerce.
Babar, Z. B, (2011). Comovement between emerging and developed stock markets: An investigation through cointegration analysis. World Applied Sciences Journal 12(4), 395-403.
Birău, F. R. (2013). Emerging capital markets: A broken architecture? International Journal of Management and Social Sciences Research 2(10).
Chan, G. H., et al. (1995). Comovements among national stock markets changes in the structure of urban banking markets in the west.
Dirk, B. G., & Schulze, N. (2007). Financial market stability: A test of international affairs and global strategy.
Gurcharan, S., & Pritam, S. (2008). Chinese and Indian Stock Market Linkages with Developed Stock Markets. Buckingham Business School, University of Buckingham, United Kingdom.
Jeffrey, A. B., et al. (2009). Investing in a global world and global stock market interdependencies and portfolio diversification.
Ling, S., et al. (2010), Volatility Co-Movement of Asean-5 Equity Markets. Universiti Malaysia Sarawak.
Mikio, A., et al. (2013). International stock market efficiency: A non-Bayesian time-varying model approach.
Rim, H., & Setaputra. R. (2012). The impacts of the US financial crisis on financial markets in Asia and Europe. International Business & Economics Research Journal, 11(1).
Ray, S. (2012). Foreign exchange reserve and its impact on stock market capitalization: Evidence from India. Research on Humanities and Social Sciences, 2(2), 2-46.
Safdar, H. T., & Hazoor (2013). Interdependence of South Asian & developed stock markets and their impact on KSE (Pakistan). IBA Research Journal Business Review, 8(1).
Tsangyao C., et al. (2006). Analysis of long-run benefits from international equity diversification between Taiwan and its major European trading partners: An empirical note. Applied Economics, 38, 2277–2283.
Tsangyao C., et al. (2009). Equity diversification in two Chinese share markets: Nonparametric cointegration test. Asian journal of Finance & Accounting l(2), 2-21.
Wing, J. et al. (2004). The relationship between stock markets of major developed countries and Asian emerging markets. Journal of Applied Mathematics & Decision Sciences, 8(4), 201-218.
Worthington, C., et al. (2003). Price linkages in Asian equity markets: Evidence bordering the Asian economic, currency and financial crises. Asia-Pacific Financial Markets, 10(1), 29-49.
Zhou, M. (2013). The Co-movement Relationship Between Major Developed And Asian Emerging Stock Markets. Saint Mary’s University, Halifax, Nova Scotia.
Published
Issue
Section
License
Submission of an original manuscript to the Journal will be taken to mean that it represents original work not previously published, that it is not being considered elsewhere for publication. And if accepted for publication, it will be published in print and online and it will not be published elsewhere.
The journal main policy reflects in its stance that the publication of scholarly research is exclusively meant to disseminate knowledge and not-for-purposes.
Copyright Statment
Sarhad Journal of Management Sciences is published by Sarhad University of Science and Information Technology Peshawar. This copyright statement entails that all contents (including text, tables, graphs, images, or any materials that is part and parcel of a research article submitted to the journal) belong to/ property of the person who owned it prior to submission this journal. Publication of the submitted article will not affect the ownership of copyright of the subject materials. SJMS and its users benefit from a general licence over all content submitted under a Creative Commons CC-BY licence over all content. However, content which is not part of the submitted article, is the property of SJMS. In a nutshell, the combination of all content on the SJMS website, the look and feel of the website, is the property of Sarhad University of Science and Information Technology Peshawar.
As an author or contributor, you grant permission to others to reproduce your articles, including any graphics and third-party materials supplied by you, in accordance with the SJMS Terms and Conditions. The licence granted to third parties over all contents of each article, including third-party elements, is a Creative Commons Attribution ("CC BY") licence. The current version is CC-BY, version 4.0 (http://creativecommons.org/licenses/by/4.0/), and the licence will automatically be updated as and when updated by the Creative Commons organisation.
You may include a requirement to reproduce copyright notices but you may not restrict the right to reproduce the entire article, including third-party graphics. This means that you must obtain any necessary third-party consents and permissions to reproduce third-party materials in your articles submitted to SJMS.
Copyright Statement updated September 13, 2022.