BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests

Abdulnasser Hatemi-J, Eduardo Roca

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    3 Citations (Scopus)


    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.

    Original languageEnglish
    Pages (from-to)5772-5778
    Number of pages7
    JournalApplied Economics
    Issue number59
    Publication statusPublished - Dec 19 2016


    • BRIC
    • GIPS
    • asymmetric causality test
    • bootstrapping
    • stock markets

    ASJC Scopus subject areas

    • Economics and Econometrics


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