The article examines causal relationships between sovereign credit default swaps (CDS) prices for the BRICS and most important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function (CCF) approach used in the research distinguishes...

This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk factors in BRICS countries using a copula approach, which is popular for capturing the “true” tail dependence based on the “distribution-adjusted” joint marginals. The...

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was...

This paper employs an empirical approach for identifying the presence and change of economic integration, as suggested by their stock markets, among BRIC (Brazil, Russia, India and China) nations. It further analyses the change in the integration and Causal relationships of stock markets of...

In the last decade hundreds of companies from emerging markets have listed and issued their shares on American and European stock markets. Brazil, Russia, India, and China have been the main origins of issuers, and stock exchanges in the US, UK, and Luxembourg the main destinations involved in...

This paper studies the interlinkages between stock markets of Brazil, Russia, India, China and South Africa (BRICS) with the help of benchmark indices of these stock exchanges. Daily closing levels of the benchmark indices in the five countries were taken for a period from April 1, 2005 to March...