The Study Of Co-movement Among BRICS Stock Markets

Since the subprime crisis, the brics countries have been taking the role of the main engine of global economic development. The rapid development of BRICS economy makes them come to people’s visions. Base on the return and volatility, we did an empirical research on the co-movement among CSI300, Bovespa Index, RTSI, BSE30and FTSE/JSE. The research methods are cointegration, Granger test, VAR mentmodel, as well as GARCH model. We found there is co-movement before Feb13th,2012, especially between China and Brazil with coefficient of0.22. After that, there is no significant co-movement.Therefore, through the research, the investor can better understand the BRICS stock market co-movement. And judge the trend of stock market with the aid of a country’s stock market. Spread risks, implement the best investment profolio strategy to gain high investment profit. For the government, the co-movement level of stock market with global market, not only manifest the stock market international level, but also manifest the degree of economy openness, the ability that guide the global money, economic structure. Understand the risk of crisis transmission, establish the supervising and managing mechanism of market. This could help control the stock market risk and impact of economy crisis. Guarantee the society and economy develop healthy and protest investors’profit and rights.