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- W2892134074 abstract "This study examines the linkages between BRICS stock market returns, country risk ratings and international factors via Non-linear Auto Regressive Distributed Lags models (NARDL) that allow testing the asymmetric effects of changes in country risk ratings on stock market returns. We show that BRICS countries exhibit quite a degree of heterogeneity in the interaction of their stock market returns with country-specific political, financial and economic risk ratings. Positive and negative rating changes in some BRICS countries are found to have significant implications for both local stock market returns as well as commodity price dynamics. While the commodity market acts as a catalyst for these emerging stock markets in the long-run, we also observe that negative changes in the country risk ratings generally command a higher impact on stock returns, implying the greater impact of bad news on market dynamics. Our findings suggest that not all BRICS nations are the same in terms of how they react to ratings changes and how they interact with global market variables." @default.
- W2892134074 created "2018-09-27" @default.
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- W2892134074 date "2017-01-01" @default.
- W2892134074 modified "2023-09-27" @default.
- W2892134074 title "Country Risk Ratings and Stock Market Returns in BRICS Countries: A Nonlinear Dynamic Approach" @default.
- W2892134074 hasPublicationYear "2017" @default.
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