A Study on Interdependency and Co-Movement Among BRIC Nation Stock Markets

- Ritesh Patel, Asst. Professor, S. V. Institute of Management, Kadi Sarva Vishwavidyalaya University, Kadi, Gujarat, India

Abstract:

BRIC Nations are considered as fastest developing economic nations of world. This study was carried out with an objective of Knowing Interdependency and co-movement among BRIC Nations in pre & post time period of change in Indian stock market trading time. For study data were taken from year 2007 to 2012. Various analytical tools such as Descriptive statistics, correlation, Regression, unit root test (ADF test) and granger causality test were applied in study to find co movement & dependency of Indian market over selected markets. The correlation of BSE with BVSP is 98.18%which indicates that BSE is highly correlated with BVSP. The highest regression statistics is recorded between BSE-BVSP which is of 96.40%. The highest return Correlation is there between BSE&BVSP which is 98.92%. From Granger casualty test we can reveal that BSE is not affected by any of the selected market. We can also see that BSE does granger causes to BVSP and RTS. It means that these markets are dependent on BSE in Short term.

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