COINTEGRATION OF EMERGING STOCK MARKETS: AN EMPIRICAL ANALYSIS ON BRICS STOCK MARKETS

Abstract

The main stock market indices of the BRICS nations—the IBOVESPA (BVSP) index, MOEX index, NIFTY 50 index, SSE Composite Index, and FTSE/JSE SA Financials Index—will be examined in relation to one another in this article. Additionally, using time series data from the chosen stock market returns over the last ten years, from 2013 to 2022, we determine the paired comparison that shows cointegration among the BRICS countries. By using statistical models such as the Vector Autoregressive model to select for lag order selection, the Johansen cointegration test to test the cointegration with reference to the data points in a sequence over time, and the augmented Dickey–Fuller test to check stationarity. By deploying the model to the data, the findings indicate that a cointegration connection exists. out of the major indexes of the stock market.