Research On The Linkage Of Brick State Stock Market

As global economic and financial integration increasingly speeds up, international economic links are getting closer and closer. In the performance of the stock market, the global stock market often shares the same change trend. In recent years, the BRICS countries has achieved dramatic economic developments and deepened financial cooperation, their stock market performance and relationship has become the focus of the market.By using daily data of the BRICS countries(i.e., Brazil, Russia, India, China and South Africa) from the stock markets between July 02, 1997 and June 30, 2014, we adopt a DCC-GARCH model to investigate the dynamic relationship among the BRICS countries’ stock markets and to examine their patterns in different time periods. We have the following findings: in the whole sample period, the dynamic correlations between stock markets in the BRICS countries tend to increase over time, especially, the dynamic stock market correlations of South Africa and other BRICS countries are the strongest ones, while the ones of Russia, India and China are followed, the ones of Brazil are the weakest; In addition to Brazil, after the concept of BRICS countries firstly proposed and the outbreak of the subprime crisis in the United States, the dynamic correlations among BRICS countries stock markets are enhanced. For instance, after the concept of BRICS countries proposed, along with the successive opening of Chinese stock market, the dynamic correlations between the stock markets of China and Russia, India as well as South Africa have been significantly increased, that is, Chinese stock market has been gradually integrated into the global stock market. Therefore, China should improve its stock market and release the activity of capital markets. The BRICS countries should further strengthen their financial coordination and surveillance in order to enhance their cross-border capital flows.