Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach

Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach

This study examines the linkages between Brazil, Russia, India, and China (BRICS) stock market returns, country risk ratings, and international factors via Non-linear Auto Regressive Distributed Lags models (NARDL) that allow for testing the asymmetric effects of changes in country risk ratings on s...

Full description

Bibliographic Details
Main Authors: Adnen Ben Nasr, Juncal Cunado, Rıza Demirer, Rangan Gupta
Format: Article
Language:English
Published: MDPI AG 2018-09-01
Series:Risks
Subjects:
asymmetric responses
NARDL models
stock market returns
country risk ratings
Online Access:http://www.mdpi.com/2227-9091/6/3/94

Internet

http://www.mdpi.com/2227-9091/6/3/94

Similar Items