This paper studies the interlinkages between stock markets of Brazil, Russia, India, China and South Africa (BRICS) with the help of benchmark indices of these stock exchanges. Daily closing levels of the benchmark indices in the five countries were taken for a period from April 1, 2005 to March 31, 2010. Line charts and unit-root tests were applied to check the stationary nature of the series; Regression Analysis, Granger's Causality Model, Vector Auto Regression (VAR) Model, and Variance Decomposition Analysis were performed to find out the linkages between the markets under study. The analysis revealed that the stock markets under study were influenced by each other, but not to a great extent. It implies that there exists opportunities for diversification of the investors among the stock exchanges of BRICS. The paper also observed that there are domestic factors (macro-economic variables) that influence the stock markets.

1. Ahlgren, N., and Antell, J. (2002). “Testing For Cointegration Between International Stock Prices.” Applied Financial Economics, Vol. 12, No. 12, pp. 851-861.
2. Aktan, B., Mandaci, P.E., Kopurlu, B.S., and Ersener, B. (2009). “Behaviour of Emerging Stock Markets In The Global Financial Meltdown: Evidence From BRIC-A.” African Journal of Business Management, Volume 3, No. 7, pp. 396-404.
3. Aktar, Ismail (2009). “Is There Any Comovement Between Stock Markets Of Turkey, Russia And Hungary.” International Research Journal of Finance and Economics, Volume 4, No. 26, pp. 192-200.
4. Aktas, N., Bodt E.D., Cousin, J.G. (2007). “Event Studies With A Contaminated Estimation Period.” Journal of Corporate Finance, Vol. 13, No. 1, pp. 129-145.
5. Bala, A., and Mukund, K.S. (2001). “Interrelationship Between Indian And US Stock Markets.” Journal of Management Research, Vol. 1, No. 3, pp. 141-148.
6. Bhoi, B.K., and Dhal, S.C. (1998). “Integration of Financial Markets In India: An Empirical Evaluation.” RBI Occasional Papers, Vol. 19, No. 4, pp. 381-394.
7. Bodla, B. S., Turan M. S. (2006). “Interlinkage Dynamics Of Asian Stock Markets.” P.U. Management Review, Volume 16, Issue 1, pp. 20-34.
8. Bose, Suchismita (2005). “Indian, US and Asian Stock Markets Recent Trends In Interlinkages.” Money and Finance, Vol. 2, No. 20-21, pp. 83-124.
9. Caporale, G.M., Pittis, N., Spagnolo, N. (2006). “Volatility Transmission And Financial Crisis.” Journal of Economics and Finance, Volume 30, No. 3, pp. 376 - 390.
10. Chan, K.C., Gup, B.E. and Pan, M.-S. (1997). “International Stock Market Efficiency And Integration: A Study Of Eighteen Nations.” Journal of Business Finance and Accounting, Vol. 24, No. 6, pp. 803-813.
11. Chaudhuri, K. (1997). “Cointegration, Error Correction And Granger Causality: An Application With Latin American Stock Markets.” Applied Economics Letters, Vol. 4, No. 8, pp. 469-471.
12. Choudhry, T. (1996). “Interdependence Of Stock Markets: Evidence From Europe During The 1920s And 1930s.” Applied Financial Economics, Vol. 6, No. 3, pp. 243-249.
13. Chuang, I.-Y., Lu, J.-R., Tswei, K. (2007). “Interdependence Of International Equity Variances: Evidence From East Asian Markets.” Emerging Market Review, Volume 8, No. 4, pp. 311 - 327.
14. Dwyer, G., Wallace, M. (1992). “Cointegration And Market Efficiency.” Journal of International Money and Finance, Volume 11, No. 4, pp. 318-327.
15. E. Weber (2007). “Volatility And Causality In Asia Pacific Financial Markets.” SFB 649 Discussion paper 2007 - 004, 2007, Downloadable from: <a href=http://sfb649.wiwi.hu-berlin.de target="_blank">http://sfb649.wiwi.hu-berlin.de</a>, accessed on October 29, 2012.
16. Elyasiani, E., Perera, P., Puri, T.N. (1998). “Interdependence And Dynamic Linkages Between Stock Markets Of Sri Lanka And Its Trading Partners.” Journal of Multinational Financial Management, Volume 8, No. 1, pp. 89 - 101.
17. Eun, C.S., Shim, S. (1989). “International Transmission Of Stock Market Movements.” Journal of Financial and Quantitative Analysis, Volume 24, No. 2, pp. 241-256.
18. Fuller, K., Netter, J., Stegemoller, M. (2002). “What Do Returns To Acquiring Firms Tell Us? Evidence From Firms That Make Many Acquisitions.” Journal of Finance, Volume 57, No. 4, pp. 1763 - 1793.
19. Grubel H. (1968). “Internationally Diversified Portfolios: Welfare Gains And Capital Flows.” American Economic Review, Vol. 58, No. 5, pp. 1299-1314.
20. Hafiz Al Asad Bin Hoque (2007). “Co-movement of Bangladesh Stock Market With Other Markets.” Managerial Finance, Vol. 33, No. 10, pp. 814-816.
21. Hamid, Kashif, and Hasan, Arshad (2011). “Causal And Dynamic Linkage Of Stock Markets: An Empirical Study Of Karachi Stock Exchange With Emerging And Developed Equity Markets.” African Journal of Business Management, Volume 5, No. 19, pp. 7802-7817.
22. Hamori, S., and Imamura, Y. (2000). “International Transmission Of Stock Prices Among G7 Countries: LA-VAR Approach.” Applied Economics Letters, Vol. 7, No. 9, pp. 613-618.
23. Jain, S., and Bhanumurthy, N.R. (2005). “Financial Markets Integration In India.” Asia- Pacific Development Journal, Vol. 12, No. 2, pp. 15-32.19.
24. Kamaralzaman, S., Samad, M. Fazilah Abdul., and Isa, Mansor Md. (2011). “A Cointegration Analysis Between Malaysian And Developed Markets.” International Proceedings of Economic Development and Research, Volume 9, pp. 1-8.
25. Kanas, A. (1998a). “Linkages Between The US And European Equity Markets: Further Evidence From Cointegration Tests.” Applied Financial Economics, Vol. 8, No. 6, pp. 607- 614.
26. Lamba (2005). “Analysis of the Short- And Long-Run Relationships Between South Asian And Developed Equity Markets.” International Journal of Business, Volume 10, No. 4, Available at SSRN: <a href=http://ssrn.com/abstract=830069 target="_blank">http://ssrn.com/abstract=830069</a>, accessed on October 29, 2012.
27. Masih, A.M.M., and Masih, R. (2001). “Dynamic Modeling Of Stock Market Interdependencies: An Empirical Investigation Of Australia And The Asian NIC's.” Review of Pacific Basin Financial Markets and Policies, Vol. 4, No. 2, pp. 235-64.
28. Menon, Rajiv; Subha M.V., Sagaran S. (2009). “Cointegration Of Indian Stock Markets With Other Leading Stock Markets.” Studies in Economics and Finance, Vol. 26, No. 2, pp. 87-94.
29. Mishra, P.K., Das K.B., and Pradhan, B.B. (2010). “Global Financial Crisis And Stock Market Volatility In India.” Indian Journal of Finance, Volume 4, No. 6, pp. 21- 26.
30. Mitchell, M., Stafford, E. (2000). “Managerial Decisions And Long-Term Stock Price Performance.” Journal of Business, Volume 73, No. 3, pp. 287 - 330.
31. Moeller, S., Schlingemann, F., Stulz, R. (2004). “Firm Size And The Gains From Acquisitions.” Journal of Financial Economics, Volume 73, No. 2, pp. 201 - 228.
32. Mohammad, Sulaiman D., and Hussain, Adnan. (2011). “The Dynamic Linkages Of Pakistani And Global Stock Markets: Evidence From Karachi Stock Exchange.” Pakistan Journal of Commerce and Social Sciences, Volume 5, No. 2, pp. 233-242.
33. Mukherjee, K.N., Mishra, R.K. (2005). “Stock Market Inter-Linkages: A Study Of Indian And World Equity Markets.” Indian Journal of Commerce, Volume 58, No. 1, pp. 17 - 42.
34. Narayan, Paresh; Russell Smyth; and Mohan Nandha (2004). “Interdependence And Dynamic Linkages Between The Emerging Stock Markets Of South Asia.” Accounting and Finance, Volume 44, Number 3, pp. 419-439.
35. Nair, A.S., Ramanathan, A. (2003). “Analysis Of Co Movements Of Select US & Indian Stock Price Indexes.” Working paper presented at UTI capital market conference. Source: <a href=http://www.utiicm.com/Cmc/PDFs/2002/abhilashnair%5E13.pdf target="_blank">http://www.utiicm.com/Cmc/PDFs/2002/abhilashnair%5E13.pdf</a>, accessed on October 27, 2012.
36. P. Narayan, R. Smyth, M. Nandha (2004). “Interdependence And Dynamic Linkages Between The Emerging Stock Markets Of South Asia.” Accounting and Finance, Volume 44, No. 3, pp. 419 - 439.
37. Pan, M.S., Y.A. Liu and H.J. Roth (1999). “Common Stochastic Trends And Volatility In Asian-Pacific Equity Markets.” Global Finance Journal, Volume 10, No. 2, pp. 161-172.
38. Richards, A.J. (1995). “Comovements In National Stock Market Returns: Evidence Of Predictability But Not Cointegration.” Journal of Monetary Economics, Vol. 36, No. 3, pp. 631-654.
39. Sahu, Dhananjay and Singh, Basant Kumar (2011). “Exogenity Of Asian Financial Markets And Possible Contagion: Some Empirical Evidence.” Indian Journal of Finance, Volume 5, No. 3, pp. 28 - 34.
40. Selvarani, M. and Shree, M.L. (2009). “Seasonality In National Stock Exchange Indices And Pharmaceutical Industry.” Indian Journal of Finance, Volume 3, No. 3, pp. 17-26.
41. Serwa, D., & Bohl, M.T. (2003). “Financial Contagion: Empirical Evidence On Emerging European Capital Markets.” Working Paper, No. 5/03, European University Viadrina, Frankfurt.
42. Sharma, Gagan Deep., and Bodla B.S. (2011). “Inter-Linkages Among Stock Markets Of South Asia.” Asia-Pacific Journal of Business Administration, Volume 3, No. 2, pp. 132-148.
43. Sharma, S.C., and Wongbangpo, P. (2002). “Long-Term Trends And Cycles In Asean Stock Markets.” Review of Financial Economics, Vol. 11, No. 4, pp. 299-315.
44. Singh, P., Kumar, B., Pandey, A. (2008). “Price And Volatility Spillover Across North American, European And Asian Stock Markets With Special Focus On Indian Stock Market”, Working paper Available at <a href=http://ssrn.com/abstract=1324350 target="_blank">http://ssrn.com/abstract=1324350</a>, accessed on October 29, 2012.
45. Singh, Gurcharan., and Singh, Pritam (2010). “Chinese And Indian Stock Market Linkages With Developed Stock Markets.” Asian Journal of Finance & Accounting, Volume 2, No. 2, E 2, pp. 21-39.
46. Subhani, Muhammad Imtiaz., Hasan, Syed Akif., Mehar, Ayub., and Osman, Amber (2011). “Are Major South Asian Equity Markets Co-Integrated.” International Journal of Humanities and Social Sciences, Volume 1, No. 12, pp. 117-121.
47. Worthington, A.C., Katsuura, M. and Higgs, H. (2003). “Price Linkages In Asian Equity Markets: Evidence Bordering The Asian Economic, Currency And Financial Crises.” Asia- Pacific Financial Markets, Vol. 10, No. 1, pp. 29-44.
48. Wong, W.K., Agarwal, A. and Du, J. (2004). “Financial Integration For Indian Stock Market: A Fractional Co-Integration Approach.” Finance India, Vol. 18, No. 4, pp. 1581- 604.
49. Yalama, Abdullah (2009). “Stock Market Linkages In Emerging Markets: Evidence From Turkey And Brazil.” Banks and Bank Systems, Volume 4, No. 3, pp. 71-78.