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International portfolio diversification possibilities: can BRICS become a destination for US investors?

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  • Lei Pan
  • Vinod Mishra

Abstract

This paper investigates the portfolio diversification possibilities between BRICS and the US stock market. Using bootstrap full-sample Granger causality and bootstrap rolling-window sub-sample Granger causality tests, we did not find evidence supporting the causal linkage between BRICS and the US stock markets; time-varying causality was observed for particular sub-samples. Our findings imply that BRICS stock markets can provide diversification possibilities for US investors most of the time; however, such opportunities become extremely limited during crisis periods. We also find that stock markets are more likely to be causally linked if they have similar business conditions, excess returns and size premiums.

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  • Lei Pan & Vinod Mishra, 2022. "International portfolio diversification possibilities: can BRICS become a destination for US investors?," Applied Economics, Taylor & Francis Journals, vol. 54(20), pages 2302-2319, April.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:20:p:2302-2319
    DOI: 10.1080/00036846.2021.1988045
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    Cited by:

    1. Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2023. "Drivers of Realized Volatility for Emerging Countries with a Focus on South Africa: Fundamentals versus Sentiment," Mathematics, MDPI, vol. 11(6), pages 1-26, March.
    2. Oguzhan Cepni & Rangan Gupta & Jacobus Nel & Joshua Nielsen, 2023. "Monetary Policy Shocks and Multi-Scale Positive and Negative Bubbles in an Emerging Country: The Case of India," Working Papers 202305, University of Pretoria, Department of Economics.
    3. Afees A. Salisu & Rangan Gupta, 2023. "Oil Price Returns Skewness and Forecastability of International Stock Returns Over One Century of Data," Working Papers 202339, University of Pretoria, Department of Economics.

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