In this paper , we analyze dynamic interactions between stock markets of BRICS (Brazil, Russia, India, China and South Africa) and other select emerging economies as classified by IMF [1] from January 2001 to June 2017. We employ ADCC-EGARCH model as well as block aggregation technique as suggested by Diebold-Yilmaz [2] framework and order-invariance of GVDs (Genera lized Variance Decompositions) as developed by Greenwood-Nimmo, Nguyen, & Rafferty [3] to examine return and risk spillovers within as well as across the BRICS and other sample Emerging Market Economies (EMEs). The results suggest the cohesiveness within BRICS equity markets is moderate. Our results also show increased integration amongst BRICS economies during the global financial crisis period, implying the presence of Contagion effect. Further more, Mexico, Chile, Hungary, Turkey and Poland seem to be good candidates to be included along with BRICS for forming a larger Emerging market economic block. This expanded block will not only ensure strengthening trade and financial ties among the participating countries, but also provide a better balance between the emerging and the developed world. This paper contributes immensely to the literature on international finance dealing with financial integration, particularly for emerging markets. The study provides important implications for global policy makers , international economic agencies, investors and the academic community.
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