KÜRESEL GÜÇ ADAYLARI: BREZİLYA, ÇİN VE RUSYA ARASINDAKİ ÖNCÜL/ARDIL İLİŞKİSİ VE VOLATİLİTE YAYILIMI.

In the study, the multivariate VAR-EGARCH model created by Koutmos is used to evaluate the spread of return and volatility across China, Russia, and Brazil, which may one day become significant economic powers in the world economy (1996). The study uses 2,621 days of data from November 1, 2012, through November 11, 2022. The findings show that there is a return spread of approximately 13.4% from the Brazil market to the Chinese market and approximately 15% from the Brazil market to the Russian market. These ratios show that the spillover of returns from Brazil to the other two countries is high. In addition, volatility spillover from Brazil to Russia is approximately 4.5%, and from Brazil to China, it is approximately 1.5%. These results show that the volatility spillover is asymmetrical rather than symmetrical, as is the return spread from Brazil to the other two countries. Also, Brazil is giving volatility to China and Russia, and it is concluded that China is the one who takes volatility from Russia and Brazil. On the other hand, the markets with a high relative importance of asymmetry, which shows the effect of negative news compared to positive news, are Russia (3.21), Brazil (2.89) and China (2.58), respectively. [ABSTRACT FROM AUTHOR]