Authors: Pradiptarathi Panda; M. Thiripalraju
Addresses: National Institute of Securities Markets (NISM), NISM Bhavan, Sector-17, Vashi, Navi Mumbai, India; Department of Commerce (Banking and Finance), RA Podar College of Commerce and Economics, Matunga, India; Affiliated to: University of Mumbai, Mumbai, India ' Department of Commerce (Banking and Finance), RA Podar College of Commerce and Economics, Matunga, India; Affiliated to: University of Mumbai, Mumbai, India
Abstract: This study examines the spillovers among stock markets for Brazil, Russia, India, China and South Africa (BRICS). We consider daily data for BRICS countries from 26 June 2002 to 31 July 2014 with 2,866 observations. We first test the stationarity of data series, employ VAR Granger causality test among stock indices to capture return spillover effect and to proceed we employ exponential generalised autoregressive conditional heteroscadasticity (EGARCH) model to capture the volatility spillover effect as well as asymmetric spillover effect. We find the presence of bidirectional and unidirectional return spillover and negative news impacts more on volatility of these countries' stock markets. Further, we find diversification does not give any economic value from India, Russia and Brazil stock markets to China stock market. The knowledge of transformation of information from one market to another market helps to develop hedging strategy, finds diversification opportunities and captures the efficiency of the market.
Keywords: return and volatility spillover; BRICS; EGARCH; Granger causality.
Afro-Asian Journal of Finance and Accounting, 2018 Vol.8 No.2, pp.148 - 166
Available online: 28 Mar 2018 *Full-text access for editors Access for subscribers Purchase this article Comment on this article