Resumen

SOSA, Miriam  y  CABELLO, Alejandra. Stock Market Behavior in the Emerging G-9 (BRICS+4). Prob. Des [online]. 2015, vol.46, n.181, pp.127-156. ISSN 0301-7036.

This article studies the relationship between macroeconomic variables and the stock markets in the BRICS countries, as well as in South Korea, Indonesia, Turkey and Mexico, determining the systematic risk for these markets and taking into account changes in four macroeconomic variables: consumer price index, industrial production, export volumes and international reserves. These were considered explanatory variables for the principal stock market indices in each economy during the time period 05/2003 to 05/2013. The methodology included a multifactorial model, vector autoregression (VAR), the variance decomposition test and the impulse response function. The evidence obtained points to heterogeneous behavior among the various economies, implying the presence of segmentation and a weak foundation for financial integration in the short term.

Palabras llave : Stock markets; stock market indices; emerging countries; macroeconomic variables; VAR model.

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