New insights into the role of global factors in BRICS stock markets: A quantile cointegration approach |
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| Institution: | 1. Institute of Economics, School of Social Sciences, Tsinghua University, Beijing 100084, China;2. School of Economics and Management, Fuzhou University, Fuzhou 350108, China;1. EIPF, Ljubljana, Slovenia;2. School of Economics and Business and Institute for South-East Europe, University of Ljubljana, Slovenia;3. School of Economics and Business and Institute for South-East Europe, University of Ljubljana, Slovenia;4. School of Economics and Business and Institute for South-East Europe, University of Ljubljana, Slovenia;5. CEPR, Slovenia;1. Institute for East European Studies, Freie Universität Berlin, Germany;2. Laboratory for Comparative Social Research, National Research University Higher School of Economics, Moscow, Russia;3. Leuphana University, Lüneburg, Germany;4. International Center for the Study of Institutions and Development, National Research University Higher School of Economics, Moscow, Russia;1. Central Bank of Brazil and Coppead–Graduate Business School, Rio de Janeiro, RJ, Brazil;2. Candido Mendes University, Brazil;1. Department of Management, Bogazici University, Istanbul 34342, Turkey;2. Naveen Jindal School of Management, The University of Texas at Dallas, Richardson, TX, 75080, USA;1. Dept. of Economics, Fordham University, USA;2. Dept. of Economics and Finance, West Chester University, USA |
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| Abstract: | Because of the acceleration in marketization and globalization, stock markets in the BRICS (Brazil, Russia, India, China, and South Africa) countries are affected by various global factors, for example, oil prices, gold prices, global stock market volatility, global economic policy uncertainty, financial stress, and investor sentiment. This paper offers new insights into the short- and long-run linkages between global factors and BRICS stock markets by applying the quantile autoregressive distributed lags (QARDL) approach. This novel methodology enables us to test short- and long-run linkages accounting for distributional asymmetry. That is, the nonlinear dynamic relationship between the global factors and BRICS stock prices depends on market conditions. Our empirical results show that the effects of gold prices and global stock market volatility on BRICS stock prices are more significant in the long run than in the short run. A decrease in global stock market volatility is associated with higher stock prices, while gold prices demonstrate upward co-movement in dynamic correlations with stock markets. Irrational factors, such as economic policy uncertainty, financial stress, and investor sentiment, play a critical role in the short term, and negative interdependence is dominant. Finally, the rolling-window estimation technique is used to examine time-varying patterns between major global factors and BRICS stock markets. |
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| Keywords: | BRICS stock markets Global factors QARDL Short- and long-run effects Time-varying patterns |
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