Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models

This study investigates the asymmetric linkages between the five BRICS (Brazil, Russia, India, China and South Africa) countries’ stock markets and three country risk ratings (financial, economic and political risk) in the presence of major global economic and financial factors. Using the dynamic pa...

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Bibliographic Details
Published in:Review of international economics 2016-02, Vol.24 (1), p.1-19
Main Authors: Mensi, Walid, Hammoudeh, Shawkat, Yoon, Seong-Min, Nguyen, Duc Khuong
Format: Article
Language:English
Subjects:
Economic theory
Global economy
International
Political risk
Return on investment
Securities markets
Stock exchanges
Studies
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Summary:This study investigates the asymmetric linkages between the five BRICS (Brazil, Russia, India, China and South Africa) countries’ stock markets and three country risk ratings (financial, economic and political risk) in the presence of major global economic and financial factors. Using the dynamic panel threshold models, we find evidence of asymmetry in most cases. However, the significance and the signs of the effects of these risk ratings on the BRICS market returns differ across the lower and upper regimes. Furthermore, improvements in the global stock, West Texas Intermediate (WTI) and gold markets enhance the BRICS stock market performance. Increases in implied volatility indices lead to drops in the BRICS markets.
ISSN:0965-7576
1467-9396
DOI:10.1111/roie.12201