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Journal of Finance & Economics Research - Volume 3, Issue 2 2018
By Amna Sohail Rawat, Imtiaz Arif
10.20547/jfer1803202
This research aims to study the effects of geopolitical shocks on the equity market returns of BRIC economies. We used quantile on quantile regression (QQR) a non-parametric technique to capture the relationship between the said variables. The results confirmed a heterogeneous response of BRIC equity returns to their own country geopolitical risk. Brazilian and Russian funds were found to be more responsive to the geopolitical shocks, whereas, Indian and Chinese funds have shown resilience to the geopolitical uncertainties. The policy recommendations based on the findings are also discussed in the study.