The Impact of US Stock Market on the Co-Movements of BRIC Stock Markets—Evidence from Linear Conditional Granger Causality - Open Journal of Statistics

OJS > Vol.7 No.5, October 2017

Volume 7, Issue 5 (October 2017)

ISSN Print: 2161-718X ISSN Online: 2161-7198

Google-based Impact Factor: 0.53 Citations

The Impact of US Stock Market on the Co-Movements of BRIC Stock Markets—Evidence from Linear Conditional Granger Causality ()

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DOI: 10.4236/ojs.2017.75060 1,018 Downloads 2,132 Views Citations

Author(s)

Lu Wang¹, Yang Yang^2*, Yuanhui Ma¹

Affiliation(s)

¹School of Mathematics, Southwest Jiaotong University, Chengdu, China.
²School of Economics and Management, Southwest Jiaotong University, Chengdu, China.

ABSTRACT

This paper investigates the impact of the US stock market on the co-movements among the BRIC stock markets using conditional Granger causality which allows a comprehensive exploration on direct and indirect causality. The results from linear conditional causality test show a strong influence of the US stock market on the co-movements of BRIC. Our findings identify the US stock market which is the main inner factor making major contributions to the co-movements among the BRIC stock markets. Further, this study provides robust evidence that the co-movements cannot be significantly influenced by the common information factor. These findings show a more complete picture of the relationships between the US and the BRIC stock markets, offering important implications for policymakers and investors.

KEYWORDS

Stock Market, BRIC, Co-Movement, Conditional Granger Causality

Share and Cite:

Wang, L. , Yang, Y. and Ma, Y. (2017) The Impact of US Stock Market on the Co-Movements of BRIC Stock Markets—Evidence from Linear Conditional Granger Causality. Open Journal of Statistics, 7, 849-858. doi: 10.4236/ojs.2017.75060.

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