Return and volatility spillovers among stock markets: BRICS countries experience

Panda, Pradiptarathi; Thiripalraju, M.

doi:10.1504/aajfa.2017.10011682

Cited by 1 publication

(3 citation statements)

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“…The study also finds that China, Australia, Russia, and India are net volatility transmitters as well as net volatility receivers depending on the crisis period. The result of this study is in line with King and Wadhwani (1990), Premaratne and Balasubramanyan (2003), Worthington and Higgs (2004) and Lee (2009), Kocaarslan et al (2017), Bhar and Nikolova (2009), Panda and Thiripalraju (2018), and Patra and Panda (2019). The result of this study will help the foreign institutional investors to diversify their portfolio among the countries based on the net transmitters and receivers.…”

Section: Discussionsupporting

confidence: 88%

“…Bekaert and Harvey (2000) and Carrieri et al (2007)) find significant movements between developed and developing markets. The existence of volatility spilloversamong stock markets has reported (King and Wadhwani, 1990; Panda and Thiripalraju, 2018; Kocaarslan et al, 2017; Panda et al, 2019; Patra and Panda, 2019).…”

Section: Literature Reviewmentioning

confidence: 99%

“…It is found that almost all market volatility spills over to other markets. Bekaert and Harvey (1997), Ng (2000), Baele (2005), Bhar and Nikolova (2009), Diebold and Yilmaz (2012, 2014), Panda and Thiripalraju (2018), and Patra and Panda (2019) have studied the significance of volatility spillover along with return spillover across markets to find out the diversification opportunities between markets. Most of the studies revealed that the U.S. market plays a significant role in return and volatility transmission to other markets as the U.S. market contributes 36% of world market capitalization.…”

Section: Introductionmentioning

confidence: 99%

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Dynamic Connectedness among BRICS and Major Countries Stock Markets

Panda¹,

Vasudevan

Panda

2020

Journal of Public Affairs

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The present study examines the interaction of regional stock indices with developed countries' stock indices on stock markets of the Brazil, Russia, India, China, and South Africa (BRICS) countries. A total of 16 stock indices have been considered in this study. All daily data have been collected from August 2, 2002 to December 28, 2017 in terms of USD. The study period is subdivided into pre, during, and post‐global financial crisis periods. After ensuring the stationarity of the return series, the study employs Diebold and Yilmaz (2012) volatility spillover index to find the country having the net transmitter and net receiver of volatility. The study finds that the net volatility spillover has doubled during the crisis period, and it has come down to half in the post‐crisis period. The study depicts that in all the periods under study, the net volatility receivers are Brazil, Hong Kong, Germany, and Japan, whereas net volatility transmitters are South Africa, London, and the United States. The study also finds that China, Australia, Russia, and India are net volatility transmitters as well as net volatility receivers, depending on the crisis period. The result of this study may help the foreign portfolio investors to diversify their portfolio across BRICS countries.

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