Published Online:April 2025
Product Name:The IUP Journal of Applied Finance
Product Type:Article
Product Code:IJAF020425
DOI:10.71329/IUPJAF/2025.31.2.25-39
Author Name:Deepak and Amit Nandal
Availability:YES
Subject/Domain:Finance
Download Format:PDF
Pages:25-39
This paper examines the stock market interlinkages among BRICS member countries in the recent decade. The daily closing value of the major indices of BRICS countries for the last 10 years, i.e., September 2013 to July 2024, has been analyzed using ADF test, Johansen cointegration test and Granger causality test. It is found that the Indian stock market is highly correlated with the South African stock market, and that there exists bidirectional Granger causality between Indian stock market and South African stock market. However, there is no cointegration between the stock market of India and those of other members of BRICS.
Stock market integration implies the extent of interconnectedness between the stock markets of different countries. Due to globalization and liberalization, countries are becoming interdependent. This interdependence sometimes leads to interconnectedness between stock markets of different countries (Bentes, 2015; Bose & Mukherjee, 2006; Chittedi, 2010; Grubel, 1968).