BRICS Capital Markets Co-Movement Analysis and Forecasting

The present study analyses BRICS (Brazil, Russia, India, China, South Africa) capital markets in both time and frequency domain using wavelets. We used artificial neural network techniques to forecast the co-movement among markets. Wavelet coherence clustering estimates uncover interesting dynamics co-movement. A wavelet diagram shows a clear contagion effect nations, it favors short period investments over longer investments. Overall indicate that nations significantly differs statistically at different levels. Except for China during great financial crisis period, significant levels of were observed between other lasted time. demonstrates investors would not get any substantial benefits diversification by investing only ‘Russia China’ or ‘India Africa’ Lastly, attempts market two types networks. Further, RMSE (Root Mean Square Error) values confirm correctness forecasting model. answers key question, “What kind integration globalization framework do we need sustainable development?”.