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

    Author(s)
    Hatemi-J, Abdulnasser
    Roca, Eduardo
    Griffith University Author(s)
    Roca, Eduardo D.
    Year published
    2016
    Metadata
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    Abstract
    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 ...
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    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.
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    Journal Title
    Applied Economics
    Volume
    48
    Issue
    59
    DOI
    https://doi.org/10.1080/00036846.2016.1184379
    Subject
    Applied economics
    Econometrics
    Publication URI
    http://hdl.handle.net/10072/99540
    Collection
    • Journal articles

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