An Empirical Analysis of Cointegration among BRICS Economies

Abstract

The principal objective of this study is to find out the Cointegration between BRICS economies.  This study mainly concentrates to test whether Indian stock market is interdependent with rest of BRICS stock markets.  The most popular emerging stock markets viz. Brazil, Russia, India, China and South Africa are analyzed using Johansen’s Cointegration test.  The data is collected for the period of five years from January 2013 to December 2017.  The monthly returns of BVSP, RTSI, NIFTY50, SHANGHAI and FTSE for the above mentioned period are considered for testing Cointegration.  The result of the study confirmed that Cointegration exists between BRICS countries.