Stock Market Integration Among BRICS Countries: A Wavelet Approach

Yıl 2025, , 169 - 207, 28.02.2025

Nuray Yuzbaşıoğlu

https://doi.org/10.25229/beta.1586216

Öz

In this study, the short- and long-term integration among the stock market indices of the five BRICS countries is analyzed over time using wavelet transform. The analysis is based on daily stock market opening data from January 3, 2004, to December 29, 2023, with average log-return values derived from the daily stock opening prices. The relationships between the stock markets of the five BRICS countries in both the short and long term are compared. The results show that there are low correlation levels among the stock markets of the countries in the short term. Additionally, these stock markets tend to move independently in response to short-term shocks. In the long term, a strong correlation is found between the stock markets of the BRICS countries. It was found that the stock markets of Brazil, India, and South Africa influence each other, while China, although independent in the short term, develops a strong relationship with Russia in the long term. The South African stock market is identified as having a fragile structure. Brazil's stock market has a guiding effect on India's stock market. While the Brazilian and Indian stock markets are more integrated into global markets, the Russian and Chinese stock markets follow a more independent trajectory. The analysis indicates that the integration of the BRICS stock markets largely occurs in the long term. The findings provide a new perspective for developing portfolio diversification and risk management models.

Anahtar Kelimeler

BRICS Countries, Wavelet transform, Stock Market Indices

Etik Beyan

This study, which does not require ethics committee approval and/or legal/special permission, complies with research and publication ethics.

BRICS Ülkeleri Arasında Borsa Entegrasyonu: Dalgacık Yaklaşımı

Öz

Bu çalışmada beş BRICS ülkesinin borsa endeksleri arasındaki kısa ve uzun vadeli frekanslarda zamanla değişen entegrasyon dalgacık dönüşümü ile incelenmiştir. 3 Ocak 2004 ile 29 Aralık 2023 tarihleri arasındaki günlük borsa açılış verileri kullanılarak hisse senetlerinin günlük borsa açılış fiyatlarına dayalı ortalama log-getiri değerleri analiz edilmiş beş BRICS ülkesinin kısa ve uzun vadedeki borsa ilişkileri karşılaştırılmıştır. Bulgular incelenen ülkelerin borsaları arasında kısa vadede düşük korelasyon seviyeleri olduğunu göstermiştir. Ayrıca bu borsaların kısa vadeli şoklara karşı bağımsız hareket etme eğiliminde olduğu belirlenmiştir. Uzun vadede BRICS ülkelerinin borsaları arasında güçlü bir korelasyon olduğu saptanmıştır. Brezilya, Hindistan ve Güney Afrika borsalarının birbirini etkilediği Çin’in ise kısa vadede bağımsız kalmasına rağmen uzun vadede Rusya ile güçlü bir ilişki geliştirdiği ortaya çıkmıştır. Güney Afrika borsasının kırılgan bir yapıya sahip olduğu tespit edilmiştir. Brezilya borsasının Hindistan borsası üzerinde yönlendirici bir etkisi olduğu görülmüştür. Brezilya ve Hindistan borsaları küresel piyasalara daha fazla entegre olurken Rusya ve Çin borsalarının daha bağımsız bir seyir izlediği sonucuna ulaşılmıştır. Analiz sonuçları BRICS ülkeleri borsaları arasında entegrasyonun büyük ölçüde uzun vadede gerçekleştiğini göstermektedir. Elde edilen bulgular, portföy çeşitlendirmesi ve risk yönetimi modellerinin geliştirilmesi için yeni bir perspektif sunmaktadır.

Anahtar Kelimeler

BRICS Ülkeleri, Dalgacık Dönüşümü, Borsa Endeksleri

Etik Beyan

Etik komite onayı ve/veya yasal/özel izin gerektirmeyen bu çalışma, araştırma ve yayın etiğine uygundur.

Kaynakça

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