BRICS market nexus for cross listed stocks: A VECX* framework

This paper delves into the dynamic price transmissions of the dually listed BRICS shares traded in the US market based on a value-weighted portfolio using efficient estimation of vector error correction model containing exogenous I(1) variables or VECX*. Our results provide convincing evidence that in the short run the domestic and global destabilising factors cause varying levels of vulnerability in the BRICS stock and ADR portfolio price movements. But in the long run the BRICS stock markets tend to become a homogenous asset class and spearheaded by USBRICS developments and consequently offer trivial benefits from portfolio diversification to international investors as these markets are internationally unified over years.