244
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests

&

References

  • Atale, N. 2012. “A Decade of BRICs: Prospects and Challenges for the Next Decade.” The Indian Journal of Management 5 (2): 16–21.
  • Baig, T., and I. Goldfajn. 1999. “Financial Market Contagion in the Asian Crisis.” Staff Papers - International Monetary Fund 46: 167–195.
  • Bhar, R., and B. Nikolova. 2009. “Return, Volatility Spillovers and Dynamic Correlation in the BRIC Equity Markets: An Analysis Using a Bivariate EGARCH Framework.” Global Finance Journal 19: 203–218. doi:10.1016/j.gfj.2008.09.005.
  • Black, F. 1976. “Studies in Stock Price Volatility Changes.” In Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section. Alexandria, VA: American Statistical Association.
  • Chambet, A., and R. Gibson. 2008. “Financial Integration, Economic Instability and Trade Structure in Emerging Markets.” Journal of International Money and Finance 27: 654–675. doi:10.1016/j.jimonfin.2008.02.007.
  • Chen, N.-F., and F. Zhang. 1997. “Correlations, Trades and Stock Returns of the Pacific-Basin Markets.” Pacific-Basin Finance Journal 5: 559–577. doi:10.1016/S0927-538X(97)00022-X.
  • Chiang, T. C., B. N. Jeon, and H. Li. 2007. “Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Markets.” Journal of International Money and Finance 26: 1206–1228. doi:10.1016/j.jimonfin.2007.06.005.
  • Christie, A. A. 1982. “The Stochastic Behavior of Common Stock Variances Value, Leverage and Interest Rate Effects.” Journal of Financial Economics 10: 407–432. doi:10.1016/0304-405X(82)90018-6.
  • Davison, A. C., and D. V. Hinkley. 1999. Bootstrap Methods and Their Application. Cambridge: Cambridge University Press.
  • Doornik, J. A., and H. Hansen. 2008. “An Omnibus Test for Univariate and Multivariate Normality.” Oxford Bulletin of Economics and Statistics 70: 927–939. doi:10.1111/obes.2008.70.issue-s1.
  • Eickmeier, S., and M. Kühnlenz. 2013. China’s Role in Global Inflation Dynamics. Discussion Papers 07/2013. Frankfurt, Germany: Research Centre, Deutsche Bundesbank.
  • Forbes, K. J., and M. D. Chinn. 2004. “A Decomposition of Global Linkages in Financial Markets over Time.” Review of Economics and Statistics 86: 705–722. doi:10.1162/0034653041811743.
  • Granger, C. W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods.” Econometrica 37: 424–439. doi:10.2307/1912791.
  • Hacker, R. S., and A. Hatemi-J. 2005. “A Test for Multivariate ARCH Effects.” Applied Economics Letters 12: 411–417. doi:10.1080/13504850500092129.
  • Hacker, R. S., and A. Hatemi-J. 2006. “Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application.” Applied Economics 38: 1489–1500. doi:10.1080/00036840500405763.
  • Hatemi-J, A. 2003. “A New Method to Choose Optimal Lag Order in Stable and Unstable VAR Models.” Applied Economics Letters 10: 135–137. doi:10.1080/1350485022000041050.
  • Hatemi-J, A. 2008. “Forecasting Properties of a New Method to Determine Optimal Lag Order in Stable and Unstable VAR Models.” Applied Economics Letters 15: 239–243. doi:10.1080/13504850500461613.
  • Hatemi-J, A. 2011. “ACTEST: GAUSS Module to Apply Asymmetric Causality Tests.” Statistical Software Components, No. G00012, Boston College Department of Economics. http://ideas.repec.org/c/boc/bocode/g00014.html
  • Hatemi-J, A. 2012. “Asymmetric Causality Tests with an Application.” Empirical Economics 43: 447–456. doi:10.1007/s00181-011-0484-x.
  • Hatemi-J, A. 2014. “Asymmetric Generalized Impulse Responses with an Application in Finance.” Economic Modelling 36: 18–22. doi:10.1016/j.econmod.2013.09.014.
  • Hatemi-J, A., and Y. El-Khatib. forthcoming. “An Extension of the Asymmetric Causality Tests for Dealing with Deterministic Trend Components.” Applied Economics.10.1080/00036846.2016.1150950.
  • Hatemi-J, A., and S. Hacker. 2005. “An Alternative Method to Test for Contagion with an Application to the Asian Financial Crisis.” Applied Financial Economics Letters 1 (6): 343–347. doi:10.1080/17446540500393468.
  • Johnson, R., and L. Soenen. 2003. “Economic Integration and Stock Market Comovement in the Americas.” Journal of Multinational Financial Management 13: 85–100. doi:10.1016/S1042-444X(02)00035-X.
  • King, M., and S. Wadhwani. 1990. “Transmission of Volatility between Stock Markets”.” Review of Financial Studies 3 (1): 5–33. doi:10.1093/rfs/3.1.5.
  • Longin, F., and B. Solnik. 1995. “Is the Correlation in International Equity Returns Constant: 1960-1990?” Journal of International Money and Finance 14 (1): 3–26. doi:10.1016/0261-5606(94)00001-H.
  • Lutkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Berlin: Springer.
  • Mensi, W., S. Hammoudeh, J. Reboredo, and D. Nguyen. 2014. “Do Global Factors Impact BRICS Stock Markets? A Quantile Regression Approach.” Emerging Markets Review 19: 1–17. doi:10.1016/j.ememar.2014.04.002.
  • Morgado, P., and J. Tavares. 2007. Economic Integration and the Co-Movement of Stock Returns. Discussion Paper No. 6519, Centre for Economic Policy Research. London, UK.
  • Paramati, S. R., R. Gupta, and E. Roca. 2015. “Stock Market Interdependence between Australia and Its Trading Partners: Does Trade Intensity Matter?” Applied Economics 47: 5303–5319. doi:10.1080/00036846.2015.1047088.
  • Pretorius, E. 2002. “Economic Determinants of Emerging Stock Market Interdependence.” Emerging Markets Review 3: 84–105. doi:10.1016/S1566-0141(01)00032-2.
  • Ratti, R. A., and J. L. Vespignani. 2015. “Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach.” Journal of Banking & Finance 53: 18–33. doi:10.1016/j.jbankfin.2014.12.013.
  • Schwert, G. W. 1990. “Stock Volatility and the Crash of 87”.” Review of Financial Studies 3: 77–102. doi:10.1093/rfs/3.1.77.
  • Tavares, J. 2009. “Economic Integration and the Comovement of Stock Returns.” Economics Letters 103: 65–67. doi:10.1016/j.econlet.2009.01.016.
  • Tkalec, S., and M. Svetlicic. 2014. “Broken BRICS.” Post-Communist Economies 26 (2): 176–200. doi:10.1080/14631377.2014.904106.
  • Toda, H. Y., and T. Yamamoto. 1995. “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes.” Journal of Econometrics 66: 225–250. doi:10.1016/0304-4076(94)01616-8.
  • Wälti, S. 2011. “Stock Market Synchronization and Monetary Integration.” Journal of International Money and Finance 30: 96–110. doi:10.1016/j.jimonfin.2010.07.004.
  • World Bank. 2015. World Development Indicators. Washington DC: International Bank for Reconstruction and Development.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.