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Full-Text Articles in Finance and Financial Management
The Integration And Efficiency Of Brics And Pakistan Stock Markets: An Analysis Using Asymmetric Cointegration And Mf-Dfa Approaches, Rukhsana Bibi, Kalsoom Akhtar, Naveed Raza
The Integration And Efficiency Of Brics And Pakistan Stock Markets: An Analysis Using Asymmetric Cointegration And Mf-Dfa Approaches, Rukhsana Bibi, Kalsoom Akhtar, Naveed Raza
Business Review
This study examines the asymmetric cointegration and efficiency between Pakistan and BRICS equity markets using monthly data from October 1997 to September 2018. The results reveal that the Brazilian stock market is the most efficient during the global financial crisis. Threshold and momentum threshold autoregressive models (TAR and M.TAR) confirm the presence of a long-run relationship between BRICS and Pakistan stock markets, where the speed of negative shocks is higher and significant for Pakistan Russian, Pakistan South Africa stock market pair. This infers quick adjustment of stock prices to negative shocks (bad news) as compared to positive shocks (good news). …