A Study of the Relationships between International Financial Indicators and BRIC Stock Indexs

• Main Authors: Hsien, Chiyang, 謝佶洋
• Other Authors: Wang, Kaili
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/17551085998815534485

碩士 === 東海大學 === 財務金融學系碩士在職專班 === 100 === This paper discusses the correlation between six international financial indexes and BRIC stock indexes. Six indexes include Commodity Research Bureau (CRB) Futures Index, Baltic Dry Index (BDI), the dollar index, the U.S. 10-year bond yields, the Volatility Index (VIX) and the TED spread. The BRIC stock indexes are Brazil BOVESPA Index, Russia RTS index, India BSE30 index, and China Shanghai Composite index. This study also defines three different sample periods attempting to figure out the difference in influence of these six international financial indexes on BRIC stock indexes during different sample period. The first period is defined from October 1, 2003, when Goldman Sachs Group first put forward the idea of “BRIC”, to December 31, 2011; the second period is set during the financial crisis and the last is from the period that the U.S. Federal Reserve first announced to perform quantitative easing monetary policy. The result shows that the six international financial indexes exert significant impacts on all BRIC Stock Indexes. Specifically, the CRB Futures Index, BDI Baltic Composite Index and the U.S. 10-year government bond yields are positively correlated to the BRIC stock indexes whereas the dollar index, the VIX and the TED spread are negatively correlated to the latter. Among them, Russia RTS index and China Shanghai Composite index are most impacted by the dollar index while Brazil Boverspa index and India BSE30 index are major impacted by CRB Futures Index. In terms of nation, Russia RTS index is most influential by these six financial indicators and China Shanghai composite index the least. During the financial crisis, the dollar index and the VIX have significantly stronger impact on the BRIC stock indexes than that in other periods. As for the period that U.S. government implemented quantitative easing policy, the CRB Futures Index seems to be the most important indicator that impacts the most, even greater than the whole period. In addition, the result also indicates that among these six international financial indexes, the CRB Futures Index is the most influential factor in accounting for the performance of BRIC stock indexes in a bull market while the dollar index in a bear market.