Mensi, Walid; Hammoudeh, Shawkat; Reboredo, Juan Carlos; … - In: Emerging Markets Review 19 (2014) C, pp. 1-17
This paper examines the dependence structure between the emerging stock markets of the BRICS countries and influential global factors. Using the quantile regression approach, our results for the period from September 1997 to September 2013 show that the BRICS stock markets exhibit dependence...