Title: Evolution of emerging bond markets' cointegration: a transition from BRIC to BRICS

Authors: Adefemi A. Obalade; Brian Nxumalo; Dylan Hoover; Grace O. Obalade; Paul-Francois Muzindutsi

Addresses: School of Business and Finance, University of the Western Cape, Private Bag X17/Robert Sobukwe Rd., Bellville/Bellville South, South Africa ' School of Accounting, Economics and Finance, University of KwaZulu-Natal, Westville Campus, Bag X 5400, Durban, 4000, South Africa ' School of Accounting, Economics and Finance, University of KwaZulu-Natal, Westville Campus, Bag X 5400, Durban, 4000, South Africa ' School of Accounting, Economics and Finance, University of KwaZulu-Natal, Westville Campus, Bag X 5400, Durban, 4000, South Africa ' School of Accounting, Economics and Finance, University of KwaZulu-Natal, Westville Campus, Bag X 5400, Durban, 4000, South Africa

Abstract: We investigated the evolution of cointegration in the emerging bond markets with a focus on the transition from BRIC (2007:1-2010:11) to BRICS (2010:12-2020:5) bloc. By applying the Autoregressive Distributed Lag Model (ARDL), we found a long-run cointegration among only 3 of 12 and 2 of 20 possible combinations in the BRIC and BRICS pairings, respectively. However, the observed limited cointegration did not hold in reverse order, thereby casting doubt on the existence of any long-run relationship. As a result, we concluded that the leading emerging bond markets are independent and signal improved diversification opportunities in recent time.

Keywords: emerging markets; bond; cointegration; causality; diversification.

DOI: 10.1504/IJTGM.2023.132036

International Journal of Trade and Global Markets, 2023 Vol.17 No.3/4, pp.223 - 233

Received: 11 Feb 2021
Accepted: 11 Jun 2021
Published online: 07 Jul 2023 *

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