Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework

Bhar, Ramaprasad; Nikolova, Biljana

doi:10.1016/j.gfj.2008.09.005

Cited by 143 publications

(80 citation statements)

References 23 publications

(23 reference statements)

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“…As of 2011, Brazil was still the world leader in exporting of iron ore and foodstuffs. Since April 2009, China started to overtake the US and became Brazil's largest trading partner 5 . In 2011, the records show that, Brazil-China goods trade amounted to US$77 billion which was 28% more than Brazil-US of US$60 billion.…”

Section: Discussionmentioning

confidence: 99%

“…Besides that, the unique geographical position, technological advancement, attractive tax system, extensive government support with stable social and political system have made Russia an attractive country after the subprime crisis. 5 Details description refers The Telegraph. 6 Major discussion refers Ministry of Economic Development of Russian Federation.…”

Section: Discussionmentioning

confidence: 99%

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Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis: Insight From BRIC Countries

Puah

Wong

2015

ECON FINANC INDONES

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This study revisits the long-run relationships and short-run dynamic causal linkages among BRIC stock market, with the particular attention to the 2008 subprime mortgage crisis. Extending related empirical studies, comparative analyses of pre-crisis, and post-crisis periods were conducted to comprehensively evaluate how stock market integration was affected by financial crises. In general, after employing cointegration test and VAR test, the results reveal the increase of stock market integration in BRICs after the subprime crisis. The evidence also found that China stock market is the most influential among the BRICs, in which China stock market has the ability to Granger cause the other three BRICs member countries. An important implication of our findings is that the degree of integration among countries tends to change over time, especially around periods marked by financial crises. Keywords: Market Integration; Subprime Mortgage; Financial Crisis; BRIC AbstrakPenelitian ini mengkaji ulang hubungan jangka panjang dan hubungan kausal dinamis jangka pendek antara pasar modal negara-negara BRIC, terutama pada saat krisis subprime mortgage 2008. Pengayaan studi empiris yang terkait dan analisa perbandingan sebelum-sesudah krisis dilakukan untuk mengevaluasi secara komprehensif tentang bagaimana krisis keuangan memengaruhi integrasi pasar modal. Secara umum, setelah menggunakan uji kointegrasi dan uji VAR, hasil penelitian ini memperlihatkan peningkatan integrasi pasar modal di negara-negara BRIC setelah terjadinya krisis subprime. Penelitian ini juga membuktikan bahwa pasar modal Cina adalah pasar yang paling berpengaruh di antara negara BRIC, di mana pasar modal Cina memiliki kemampuan untuk memengaruhi secara Granger Causality tiga negara anggota BRIC lainnya. Implikasi penting dari temuan kami adalah bahwa tingkat integrasi antara negara-negara cenderung berubah dari waktu ke waktu, terutama sekitar periode yang ditandai oleh krisis keuangan.

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Section: Discussionmentioning

confidence: 99%

Section: Discussionmentioning

confidence: 99%

Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis: Insight From BRIC Countries

Puah

Wong

2015

ECON FINANC INDONES

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“…Interesting evidence proved that the New York market presented stronger influence than the Tokyo market over the Taiwan and Hong Kong markets; the Taiwan market performed more sensitively to developed markets over Hong Kong markets. Bhar and Nikolova [6] looked at the different levels of integration among Brazil, Russia, India, and China (BRIC) across their regions and the world in the post-liberalization period through bivariate EGARCH models. They found that India has exhibited the highest integration of its stock index to the world and was followed by Brazil, Russia, and China.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Since these models have high peakedness and fat tails compared with a normal distribution, they allow for time varying conditional correlation of these stock markets [6]. Furthermore, the advantage of these models represents the ability to model the dynamic behavior of financial investment tools.…”

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confidence: 99%

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Testing Leverage and Spillover Effects in Precious Metal ETFs

Chen¹,

Trang²

2018

TEL

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This research employed the Generalized Autoregressive Conditional Heteroskedasticity-in-Mean-Autoregressive Moving Average (GARCH-M-ARMA) and the Exponentially Generalized Autoregressive Conditional Heteroskedasticity-in-Mean-Autoregressive Moving Average (EGARCH-M-ARMA) models to investigate the spillover and leverage effects in the returns and volatilities of precious metal (base metal) ETFs. Significant positive relationships were found between precious metal (base metal) ETFs and precious metal (base metal) price indices. Further, the positive relationship between risk and return was illustrated in daily precious metal (base metal) ETFs.

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Spillovers and financial integration in emerging markets: Analysis of BRICS economies within a VAR‐BEKK framework

Patra¹,

Panda²

2019

Int. J Fin Econ

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This study estimates the return and volatility spillovers among the BRICS countries (internal) and between BRICS, gold, oil and US stock markets (external). We find that internal return and volatility spillovers are higher than their external spillover counterparts. Thus, investors would be better off diversifying their investments in gold, oil and US stock markets along with the emerging economies. Interestingly, we also find that the return spillovers are higher than their volatility spillover counterparts, thus presenting investors with an opportunity to diversify their portfolio risk. With respect to portfolio constitution, South Africa emerges as the top choice for investment within the BRICS, whereas gold is the preferred choice for investors outside the BRICS economies.

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Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework

Cited by 143 publications

References 23 publications

Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis: Insight From BRIC Countries

Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis: Insight From BRIC Countries

Testing Leverage and Spillover Effects in Precious Metal ETFs

Spillovers and financial integration in emerging markets: Analysis of BRICS economies within a VAR‐BEKK framework

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