Integration among the BRICS stock markets: Filtering out global factors

Figures & data

Table 1. Descriptive statistics and unit root tests for country index returns.

	Brazil	Russia	India	China	South Africa	Egypt	Saudi Arabia	UAE	World
Mean	0.002	0.002	0.002	0.001	0.002	0.003	0.000	0.001	0.001
Median	0.004	0.004	0.004	0.001	0.003	0.004	0.004	0.001	0.003
Standard Deviation	0.034	0.040	0.028	0.032	0.025	0.040	0.034	0.037	0.024
Kurtosis	7.901	19.428	7.397	5.877	8.000	7.648	10.983	10.237	13.734
Skewness	−0.535	−0.416	−0.560	−0.267	−0.339	−0.704	−1.413	−1.040	−1.253
Jarque-Bera	1113.8***	11972***	911.13***	378.87***	1126.8***	1043.8***	3172.9***	2508.9***	5376.5***
ADF	−10.789***	−8.4874***	−10.598***	−8.173***	−10.317***	−8.701***	−8.491***	−7.181***	−10.53***

*** indicates significance at the 1% level.

Figure 1. Heatmaps of Pearson correlation matrices for unfiltered (left) and filtered (right) returns.

Table 2a. DCC(1,1) model estimation results: unfiltered.

	Brazil	Russia	India	China	South Africa	Egypt	Saudi Arabia	UAE
	i = 1	i = 2	i = 3	i = 4	i = 5	i = 6	i = 7	i = 8
ωi	0.000***	0.000***	0.000**	0.000	0.000**	0.000**	0.000***	0.000*
αi	0.139***	0.188***	0.168***	0.126	0.104***	0.169***	0.277***	0.229***
βi	0.778***	0.799***	0.796***	0.853***	0.833***	0.747***	0.657***	0.746***
θ1	0.008***
θ2	0.966***

Table 2b. DCC(1,1) model estimation results: filtered.

	Brazil	Russia	India	China	South Africa	Egypt	Saudi Arabia	UAE
	i = 1	i = 2	i = 3	i = 4	i = 5	i = 6	i = 7	i = 8
ωi	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
αi	0.056**	0.055	0.058	0.052***	0.068***	0.054*	0.055	0.068
βi	0.901***	0.901***	0.902	0.901***	0.905***	0.901***	0.903***	0.904***
θ1	0.004
θ2	0.956***

***, ** and * indicate significance at the respective 1%, 5% and 10% levels.

Table 3. Summary of DCC plots: unfiltered versus filtered.

Country pair	DCC range Unfiltered	DCC range Filtered	Average DCC (full sample) Unfiltered	Average DCC (full sample) Filtered	Average DCC (GFC) Unfiltered	Average DCC (GFC) Filtered	Average DCC (EDC) Unfiltered	Average DCC (EDC) Filtered	Average DCC (COVID-19) Unfiltered	Average DCC (COVID-19) Filtered	Average DCC (Russia-Ukraine) Unfiltered	Average DCC (Russia-Ukraine) Filtered
Russia–Brazil	−0.10–0.30	−0.20–0.60	0.022	0.023	0.077	0,040	0.020	0.023	0,178	0,405	−0,050	−0,175
India–Brazil	−0.04–0.02	−0.05–0.15	−0.006	−0.001	−0.001	0,009	0.005	0.012	0,009	0,096	−0,006	−0,012
China–Brazil	0.22–0.28	0.098–0.098	0.243	0.098	0.234	0,098	0.256	0.098	0,249	0,098	0,235	0,098
South Africa–Brazil	0.20–0.80	0.18–0.26	0.552	0.215	0.662	0,239	0.645	0.218	0,737	0,189	0,413	0,241
Egypt–Brazil	−0.20–0.50	−0.20–0.30	0.114	0.003	0.144	0,009	0.121	0.011	0,388	0,170	0,109	0,002
Saudi Arabia–Brazil	−0.10–0.50	−0.05–0.10	0.143	0.015	0.147	0,014	0.134	0.015	0,366	0,066	0,134	0,047
UAE–Brazil	−0.05–0.30	−0.10–0.40	0.063	0.075	0.063	0,084	0.072	0.090	0,201	0,315	0,037	0,040
India–Russia	0.25–0.55	0.25–0.55	0.380	0.383	0.415	0,415	0.427	0.408	0,503	0,497	0,398	0,394
China–Russia	0.00–0.15	0.00–0.10	0.083	0.056	0.130	0,094	0.081	0.071	0,036	0,016	0,097	0,045
South Africa–Russia	−0.03–0.03	−0.15–0.00	0.004	−0.051	0.009	−0,038	0.003	−0.053	−0,002	−0,083	−0,018	−0,130
Egypt–Russia	0.16–0.21	0.10–0.25	0.179	0.169	0.193	0,182	0.182	0.167	0,190	0,203	0,173	0,145
Saudi Arabia–Russia	0.00–0.25	0.04–0.10	0.092	0.066	0.175	0,096	0.144	0.079	0,130	0,080	0,089	0,062
UAE–Russia	0.00–0.60	0.00–0.50	0.208	0.206	0.261	0,263	0.232	0.210	0,512	0,420	0,159	0,161
China–India	0.083–0.083	0.087–0.087	0.083	0.087	0.083	0,087	0.083	0.087	0,083	0,087	0,083	0,087
South Africa–India	−0.026–−0.026	−0.032–−0.032	−0.026	−0.032	−0.026	−0,032	−0.026	−0.032	−0,026	−0,032	−0,026	−0,032
Egypt–India	0.178–0.178	0.193–0.193	0.178	0.193	0.178	0,193	0.178	0.193	0,178	0,193	0,178	0,193
Saudi Arabia–India	−0.10–0.30	0.00–0.25	0.129	0.147	0.156	0,155	0.208	0.189	0,242	0,223	0,251	0,236
UAE–India	0.00–0.50	0.10–0.50	0.247	0.247	0.306	0,301	0.265	0.258	0,359	0,358	0,244	0,244
South Africa–China	0.10–0.40	0.05–0.25	0.284	0.145	0.155	0,083	0.319	0.141	0,397	0,191	0,321	0,171
Egypt–China	0.125–0.125	0.057–0.057	0.125	0.057	0.125	0,057	0.125	0.057	0,125	0,057	0,125	0,057
Saudi Arabia–China	−0.10–0.30	−0.20–0.15	0.106	0.042	0.165	0,062	0.068	0.032	0,249	0,072	0,056	0,044
UAE–China	−0.30–0.30	−0.05–0.05	0.003	0.005	0.071	0,029	0.036	0.036	−0,074	−0,017	−0,061	0,012
Egypt–South Africa	0.05–0.40	0.045–0.045	0.187	0.045	0.205	0,045	0.170	0.045	0,324	0,045	0,223	0,045
Saudi Arabia–South Africa	0.00–0.35	−0.20–0.40	0.152	0.005	0.057	−0,014	0.116	−0.001	0,268	0,177	0,252	0,072
UAE–South Africa	0.039–0.039	0.037–0.037	0.034	0.037	0.039	0,037	0.039	0.037	0,039	0,037	0,039	0,037
Saudi Arabia–Egypt	0.00–0.70	0.10–0.50	0.277	0.236	0.378	0,288	0.273	0.230	0,442	0,248	0,265	0,239
UAE–Egypt	0.14–0.26	0.00–0.40	0.189	0.181	0.120	0,187	0.187	0.180	0,220	0,291	0,174	0,152
UAE–Saudi Arabia	0.223–0.223	0.231–0.231	0.228	0.232	0.228	0,232	0.228	0.232	0,228	0,232	0,228	0,232