To find out the cointegration between the stock market of BRIC countries.

What is it about?

This paper aims to study the co-integration among the stock markets of BRIC nations of Brazil, Russia, Indian and China to analyze if the series move apart or they move together in the long term. and to examine the implied volatility transmission between the Indian implied volatility index and three international indices and vice-versa by using synchronized daily data by using techniques such as generalized impulse response functions and variance decompositions. More specifically, the authors investigate how shock to one volatility index affects another volatility index and what is the magnitude and sign of affect and how long does the effect persist?

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Why is it important?

Due to the technology development, the world has come closer. There is a need to know the impact of one stock market over other. Seeing the need of the present world, the paper examines the integration of the stock market of BRIC nation.