The Dynamic Relationships between the Baltic Dry Index and the BRICS Stock Markets: A Wavelet Analysis

Asian Economic and Financial Review

article

Pao-Lan Kuo¹  Chien-Liang Chiu¹  Chan-Sheng Chen²  Mei-Chih Wang³ 

[1] Department of Banking and Finance, Tamkang University;Department of Banking and Finance, Tamkang University, Former President, Central Deposit Insurance Corp.;Providence University Finance

关键词: Granger causality;    wavelet;    Nonlinearity;    Baltic dry index;    BRICS;    Emerging markets.;   

DOI  :  10.18488/journal.aefr.2020.103.340.351

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

This paper studies the dynamic relationships between the Baltic Dry Index (BDI) and the BRICS stock markets by wavelet analysis for the period from January 1996 to March 2019. Compared to the causality based on linearity and the choosing of the period of lags, as well as given the significant evidence of nonlinearity, we used wavelet analysis to analyze the dynamic relationships between the two series in both time and frequency domains, which helped us to demonstrate the causality across different horizons. Due to wavelet analysis, we found that the BDI and the Brazilian stock market had a significantly positive relationship from 2002 to 2011 in the medium term and that the Brazilian stock market led the BDI from 2002 to 2004 and from 2009 to 2011. The wavelet analysis showed that the Russian and Indian stock markets dominated the BDI from 2005 to 2016 in the long term and from 2002 to 2011 in the medium term, respectively. The South African stock market and the BDI had a medium term, positive, and co-movement relationships. The empirical results of Brazil and South African indicated that commodity import- and export- related countries have similar interactions. Lastly, wavelet analysis revealed that the BDI lead the Chinese stock market from 1996 to 1998 in the medium term, while the Chinese stock market turned to dominate the BDI from 2001 to 2011, both in the medium and long term.

【 授权许可】

CC BY