Stock market integration and portfolio divesification in the bric countries
This study examines the stock market integration and portfolio diversification in the BRICs (Brazil, Russia, India and China) before and after the US subprime mortgage crisis in 2008. The monthly stock market dosing indexes from May 2003 to June 201] have been adopted and further sub-divided into...
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| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
2012
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/9069/2/Hung%28fulltext%29.pdf |
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| Summary: | This study examines the stock market integration and portfolio diversification in the
BRICs (Brazil, Russia, India and China) before and after the US subprime mortgage
crisis in 2008. The monthly stock market dosing indexes from May 2003 to June 201]
have been adopted and further sub-divided into pre-crisis and post-crisis periody The
results reveal that increase of stock market integration in BRICs after the subprime crisis.
The evidence also found that China stock market is the most influential among the BRICs,
in whioh the China stock market has the ability to Granger cause the other three BRICs
member countlies. Policy implication for investor on portfolio diversification shall be
considered. |
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