Please use this identifier to cite or link to this item:
Title: The effect of the financial crisis on emerging markets. A comparative analysis of the stock market situation before and after
Authors: Grima, Simon
Caruana, Luca
Keywords: BRIC countries
Financial crises
Developing countries
Issue Date: 2017
Publisher: University of Dubrovnik
Citation: Grima, S., & Caruana, L. (2017). The effect of the financial crisis on emerging markets. A comparative analysis of the stock market situation before and after. Dubrovnik International Economic Meeting, 3(1), 228-254.
Abstract: In this paper the authors present the findings of an analyses carried out to establish whether the BRIC’s stock market returns were affected by the U.S. financial stress during the 2008 Financial Crisis. To do this the authors studied the relationship between the U.S. Stock Markets and the BRIC countries’ stock and bond market returns. They carried out a regression analysis which consisted of running an equation of the dependent variable - the BRIC’s stock market returns, against a number of regressors -explanatory variables, which include the U.S.’ industrial production, the U.S.’ unemployment rate, the U.S.’ S&P500, the Michigan confidence index, the BRIC’s consumer price index, the industrial production, the Gross Domestic Product and the consumer price index of each individual country; Brazil, Russia, India and China respectively. Then the authors used a single-equation time series model to explain spillover effects emanating from the US onto the BRIC markets. They analysed the whole data series from 2003 to 2014. Then sub-divided this data to analyse the post crisis effects on the BRICS equity market. The index of Brazil, Russia, India and China respectively. - BOVESPA (Brazil), MICEX (Russia), NIFTY (India) and China Security Index (CSI300) were the dependent variables of the model. Moreover, the model takes the US stock market index, the S&P500 as a benchmark variable. Results obtained, revealed that the BRICs were subject to a spillover effect during and following the financial crisis.
Appears in Collections:European Research Studies Journal, Volume 20, Issue 4, Part B
Scholarly Works - FacEMAIns

Files in This Item:
File Description SizeFormat 
  Restricted Access
4.9 MBAdobe PDFView/Open Request a copy

Items in OAR@UM are protected by copyright, with all rights reserved, unless otherwise indicated.