Nikunj Patel

Spillover Effects between BRIC Nations' Stock Markets

This paper examines the Spillover Effects of the BRIC nations’ Stock markets for the period January 2002 to March 2013. Daily returns are examined for Spillover Effects using descriptive statistics, correlation, 100 days rolling correlation, Unit Root Test and Granger Causality. It has been found that data is stationary. From the analysis, it is found that all markets showed positive returns, more specifically Russian market has given highest return and also it moves positive side of average return. Highest fluctuation was observed in Russian market and lowest fluctuation in Chinese market. Brazilian stock market showed upward trend in Russian and Indian stock markets, while the downward trend with the Chinese market. Russian stock market shows upward trend with the Indian stock market, while the downward trend with Chinese market. And, Indian stock market shows downward trend with Chinese stock market. Chinese stock market return depends on all the other three markets. While in other side Brazilian stock market return does not depend with other three market.