Evolution of emerging bond markets' cointegration: a transition from BRIC to BRICS
by Adefemi A. Obalade; Brian Nxumalo; Dylan Hoover; Grace O. Obalade; Paul-Francois Muzindutsi
International Journal of Trade and Global Markets (IJTGM), Vol. 17, No. 3/4, 2023

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.

Online publication date: Fri, 07-Jul-2023

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