Dependence Structure between BRICS Countries and Developed Stock Markets: Evidence Using Wavelet and VMD Copula Approaches


Dependence Structure between BRICS Countries and Developed Stock Markets: Evidence Using Wavelet and VMD Copula Approaches


Muhammad Usman, Abdul Haque, Muhammad Ali Jibran Qamar

COMSATS University Islamabad, Lahore Campus


Global-journal-of-Economics-and-Business-Administration

This paper investigates the comovement in stock prices between the three developed countries (the USA, UK and Japan) and BRICS countries. (Brazil, Russia, India, China and South Africa) using Wavelet Coherence and Variational Mode Decomposition(VMD) based copula approach for the period 2002-2018. We find that not all BRICS states co-move with developed countries. Brazil moves with the USA, both in long-run and short-run, while China has least interdependence with either of the developed countries, both in long-run and short-run. It is also found that Global Financial Crisis increased the interdependencies between developed and BRICS countries. The results of both the approaches validated each other. These findings are essential for investors to make the optimal portfolios or policymakers to make macroeconomic policies.


Keywords: Co-movements, GFC 2007-08, Contagion effect, BRICS, Wavelet and Coupla

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How to cite this article:
Muhammad Usman, Abdul Haque, Muhammad Ali Jibran Qamar. Dependence Structure between BRICS Countries and Developed Stock Markets: Evidence Using Wavelet and VMD Copula Approaches. Global journal of Economics and Business Administration, 2019, 4: 23. (This article has been withdrawn per the request of author.  Please do not use it for any purposes).


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