Search

This paper investigated exchange rate and stock price volatility connectedness and spillover in Brazil, Russia, India, China, and South Africa (BRICS) during pandemic-induced crises. We first extracted volatility using the Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) model. Then volatility connectedness and spillover were investigated by using (Diebold and Yilmaz, International Journal of Forecasting, 28(1), 57–66, 2012) method. We find that exchange rate volatility and stock return volatilities are connected during pandemic-induced crises. The study also finds volatilities spillover among countries in the sample. Russia has strong volatility connectedness with India in these financial markets. The direction of volatility spillover is from Russia to India. Similarly, Brazil has strong volatility connectedness with South Africa and the direction volatility spillover is from Brazil to South Africa. Finally, China has a weak volatility connection with the remaining BRICS countries. Thus, the volatility transfer in these financial markets and across BRICS countries has economic implications. [ABSTRACT FROM AUTHOR]

This study aims to analyze the volatility spillover between bond and commodity markets in terms of global liquidity risk. The data covers the daily closing prices of bond markets in specified countries - Brazil, Russia, India, China, and Turkey - and certain commodities - gold and oil - for the period January 2008 to January 2022. We utilized the DCC-GARCH model to analyze volatility spillover between these markets and the Copula DCC-GACRH model to determine dependence structures between them. Additionally, we applied the Hong Causality in Variance Test to determine the direction of the causal relationships between these markets. Our empirical findings indicate the existence of significant volatility spillovers between gold and most of these bond markets (Brazil, China, Russia, and Turkey), and between oil and some of these bond markets (Russia, India and Turkey). Our results indicate a limited diversification benefit for investors and portfolio managers. [ABSTRACT FROM AUTHOR]

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return spillover, our findings reveal a unidirectional return transmission from Mexico to the US stock market during the global financial crisis. During the crash of the Chinese stock market, the return spillover is found to be unidirectional from the US to the Brazil, Chile, Mexico, and Peru stock markets. Moreover, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global financial crisis. During the Chinese crash, the bidirectional volatility transmission is observed between the US and Mexican stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the global financial crisis. During the Chinese crash, the volatility spillover is bidirectional between the China and Brazil stock markets. Lastly, a portfolio analysis application has been conducted. [ABSTRACT FROM AUTHOR]

In recent years, researchers have increasingly studied the interaction between the crude oil market and economic policy uncertainty (EPU). To have a deeper knowledge, this article examines the spillover effects between them from a multiscale perspective with a wavelet-based BEKK-GARCH method. The results show that the spillover effects between the Brent crude oil market and EPU in the BRIC countries are time-varying across different wavelet scales in terms of direction and strength. The mean spillover relationship between oil prices and EPU is weak in the short term but gradually strengthened toward the long term. Moreover, there are strong volatility spillover effects between oil prices and EPU in Brazil and Russia in the short and medium term. [ABSTRACT FROM AUTHOR]

This paper analyses the degree of integration of the BRIC countries on a regional and global basis, achieved by using daily equity index level data. The paper concludes that a high degree of integration exists between the BRIC countries and their respective regions, and to a lesser extent, the rest of the world. Regional trends are found to have a much greater influence than world trends upon the stock return process of the BRIC countries. The world index returns, and most likely the US equity market returns, have a significant influence upon the variance of returns seen across Brazil, Russia and India. China is the only country where there exists a negative relationship between volatility spillover effects on a regional and global basis. This suggests existence of diversification opportunities for investment managers. Global portfolio managers can still add value from investments in these countries, however the increased levels of integration of these economies highlight the need for portfolio stock selection strategies as well as investment in specific growth areas within these economies, rather than taking a position in the country index. [ABSTRACT FROM AUTHOR]