TY - JOUR
T1 - BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests
AU - Hatemi-J, Abdulnasser
AU - Roca, Eduardo
N1 - Publisher Copyright:
© 2016 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2016/12/19
Y1 - 2016/12/19
N2 - We investigate the asymmetric causal interaction between the stock markets of the GIPS (Greece, Ireland, Portugal and Spain) and those of the BRIC (Brazil, Russia, India and China) based on a newly developed asymmetric causality test by Hatemi-J (2012) [Hatemi-J, A. 2012. “Asymmetric Causality Tests with an Application.” Empirical Economics 43: 447–456. doi:10.1007/s00181-011-0484-x]. We confirm a significant stock market interaction between the two blocs in which the BRIC drives the GIPS but not vice versa. Thus, the BRIC seems to be more influential on the GIPS than the GIPS on the BRIC. However, this interaction occurs only during downmarket conditions but not during upmarket times. The BRIC pulls down the GIPS during bad times but does not pull them up during good times. These results have significant implications for international policymakers and provide further evidence on the existence of asymmetric causal interactions between financial markets.
AB - We investigate the asymmetric causal interaction between the stock markets of the GIPS (Greece, Ireland, Portugal and Spain) and those of the BRIC (Brazil, Russia, India and China) based on a newly developed asymmetric causality test by Hatemi-J (2012) [Hatemi-J, A. 2012. “Asymmetric Causality Tests with an Application.” Empirical Economics 43: 447–456. doi:10.1007/s00181-011-0484-x]. We confirm a significant stock market interaction between the two blocs in which the BRIC drives the GIPS but not vice versa. Thus, the BRIC seems to be more influential on the GIPS than the GIPS on the BRIC. However, this interaction occurs only during downmarket conditions but not during upmarket times. The BRIC pulls down the GIPS during bad times but does not pull them up during good times. These results have significant implications for international policymakers and provide further evidence on the existence of asymmetric causal interactions between financial markets.
KW - BRIC
KW - GIPS
KW - asymmetric causality test
KW - bootstrapping
KW - stock markets
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U2 - 10.1080/00036846.2016.1184379
DO - 10.1080/00036846.2016.1184379
M3 - Article
AN - SCOPUS:84969836665
SN - 0003-6846
VL - 48
SP - 5772
EP - 5778
JO - Applied Economics
JF - Applied Economics
IS - 59
ER -