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The Impact of US Stock Market on the Co-Movements of BRIC Stock Markets—Evidence from Linear Conditional Granger Causality

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Document pages: 10 pages

Abstract: This paper investigates the impact of the US stockmarket on the co-movements among the BRIC stock markets using conditionalGranger causality which allows a comprehensive exploration on direct andindirect causality. The results from linearconditional causality test show a strong influence of the US stock market onthe co-movements of BRIC. Our findings identify the US stock market which is the main inner factor making major contributionsto the co-movements among the BRIC stock markets. Further, this studyprovides robust evidence that the co-movements cannot be significantlyinfluenced by the common information factor. These findings show a more complete picture of therelationships between the US and the BRIC stock markets, offering importantimplications for policymakers and investors.

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