Return and volatility spillovers among stock markets: BRICS countries experience

Panda, Pradiptarathi; Thiripalraju, M.

doi:10.1504/aajfa.2018.091057

Cited by 13 publications

(8 citation statements)

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“…One of the stylised facts highlighted by previous results is that there are significant spillovers between the equities markets of the US and those of other nations [ 2 , 21 ], corroborating the fact that “when America sneezes, the whole world catches a cold,” as Adam [ 53 ] puts it. With BRIC economies, our findings divulge that middle-income and emerging economies like the BRIC are susceptible to shocks from France and Germany more than the US, and contributes to the reason why the BRIC economies survived despite the capital flight due to tapering by the US Federal Reserve [ 5 ].…”

Section: Practical Implicationsmentioning

confidence: 67%

“…As a result of the diversified reliance structure, the authors infer that BRIC is a unique asset class in terms of strategic portfolio management. Panda and Thiripalraju [ 2 ] examine spillovers among the BRICS markets from 26/06/2002 to 31/07/2014 under the exponential GARCH framework. The authors discover bidirectional and unidirectional spillover between the studied markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…We note from the reviewed literature that the individual BRIC markets are mostly compared with only the US on the premise that a one-way impact is transmitted from the US economy to other nations [ 2 , 21 ] and “when America sneezes, the whole world catches a cold” [ 53 ]. Also, the studies on spillovers have failed to extend to the COVID-19 pandemic era, which according to Quinsee [ 13 ], drives a financial crisis caused by exogenous shocks rather than endogenous shocks that caused other crises like the 2007/08 GFC.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Regarding the methods, the extant literature has been predominant with dynamic equicorrelation-fractionally integrated exponential GARCH [ 4 ], exponential GARCH [ 2 ], VAR-BEKK [ 54 ], dynamic equicorrelation GARCH [ 55 ], wavelets [ 10 ], BEKK-GARCH [ 56 ], DY-12 spillover index [ 21 , 29 , 51 ]; directed acyclic graph-SVAR [ 27 ]. These approaches, e.g., the GARCH techniques, VAR, and wavelets, could at best only determine spillovers and contagion, but cannot assess their magnitude and source(s).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Since O’neill’s [ 1 ] coining of the term ‘BRIC,’ the world’s main middle-income and developing nations of Brazil, Russia, India, and China have pursued increasingly divergent pathways to economic growth [ 2 ]. After the 2007/08 Global Financial Crisis (GFC), the concept of the BRIC as synchronised engines of global development disappeared as the BRIC established relatively diverse investment markets such as market size and scope, and institutional maturity [ 3 ].…”

Section: Introductionmentioning

confidence: 99%

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Spillovers and contagion between BRIC and G7 markets: New evidence from time-frequency analysis

et al. 2022

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We examine the time-frequency spillovers, contagion, and pairwise interrelations between the BRIC index and its constituents, and between BRIC and G7 economies. The extent of interdependencies between market blocs and their constituents needs to be ascertained in the time-frequency domain for efficient asset allocation and portfolio management. Accordingly, the Baruník and Křehlík spillover index is employed with daily data between 11th December 2015 and 28th May 2021. We find the overall and net spillovers between BRIC and G7 to be significant in the short-term, with France, Germany, and the UK transmitting the greatest shocks to BRIC markets. We find no significant evidence of any sporadic volatilities for the studied markets in the COVID-19 period across all frequencies. However, we reveal contagious spillovers between the BRIC and G7 economies across all time scales in 2017 and 2019, which respectively reflect the persistent effect of Brexit and the US-China trade tension. Our findings divulge that in the short-term (mid-to-long-term), France and the UK (Canada and the US), are the sources of contagion between the BRIC and G7 markets. From the net-pairwise spillovers, we report high connectedness between the BRIC index and its members. BRIC countries are found to be transmitters of net-pairwise spillovers to the G7 markets excluding Japan. We recommend portfolio diversification using BRIC and G7 stocks in the intermediate-to-long-term horizon, where spillovers are less concentrated. Additionally, since individual markets are impacted by their unique shocks, investors should pay close attention to these shocks when distributing assets. In the interim, policy-makers and governments across the globe should ensure effective liberalisation of their economies to encourage international trade flows to boost portfolio diversification.

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Section: Practical Implicationsmentioning

confidence: 67%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Spillovers and contagion between BRIC and G7 markets: New evidence from time-frequency analysis

et al. 2022

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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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Information bias and its spillover effect on return volatility: A study on stock markets in the Asia-Pacific region

Panda

Panda²,

Nanda³

et al. 2021

Pacific-Basin Finance Journal

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Return and volatility spillovers among stock markets: BRICS countries experience

Cited by 13 publications

References 0 publications

Spillovers and contagion between BRIC and G7 markets: New evidence from time-frequency analysis

Spillovers and contagion between BRIC and G7 markets: New evidence from time-frequency analysis

Dynamic Connectedness among BRICS and Major Countries Stock Markets

Information bias and its spillover effect on return volatility: A study on stock markets in the Asia-Pacific region

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