International Equity Diversification Between the United States and Brics Countries

Ming Zhong (), Tsangyao Chang and Han-Wen Tzeng ()
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Ming Zhong: Shanghai University of Finance and Economics, School of Finance, Shanghai, China.
Han-Wen Tzeng: Department of Finance, Overseas Chinese University, Taichung, Taiwan.

Journal for Economic Forecasting, 2014, issue 1, 123-138

Abstract: This study uses an enhanced powerful nonparametric cointegration test developed by Bierens (1997) to re-investigate whether there are long-run benefits from international equity diversification between the United States and BRICS countries (i.e., Brazil, Russia, India, China, and South Africa), over the period July 1997 to March 2012. The results of this test suggest that the United States markets (for both Dow Jones 30 and S&P 500) are pairwise cointegrated with the stock markets of the BRICS countries. These findings should prove valuable to individual investors and financial institutions.

Keywords: international equity diversification; BRICS countries; long-run investment portfolios; nonparametric cointegration test (search for similar items in EconPapers)
JEL-codes: C32 F21 (search for similar items in EconPapers)
Date: 2014
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