Please use this identifier to cite or link to this item: https://ir.iimcal.ac.in:8443/jspui/handle/123456789/4841
Title: Symmetric and asymmetric volatility spillover among BRICS countries’ stock markets
Authors: Joo, Bashir Ahmad
Ghulam, Younis Ahmed
Mir, Simtiha Ishaq
Keywords: Volatility spillover
DCC-GARCH
Volatility
AGDCC-GARCH
Asymmetric volatility spillover
Bi-directional volatility
Issue Date: Dec-2023
Publisher: Indian Institute of Management Calcutta, Kolkata
Series/Report no.: Vol. 50;No. 4
Abstract: The primary objective of this paper is to analyze the volatility dynamics and spillover, symmetric and asymmetric, among BRICS countries’ stock markets. The paper employed dynamic conditional correlation and asymmetric generalized dynamic conditional correlation models to examine the bidirectional volatility spillover. The study preferred these sophisticated and flexible models as they have several advantages over other econometric models. The findings of the study indicate a long-term integration and a significant bidirectional spillover effect (both symmetric and asymmetric), suggesting a close relationship among the stock markets of BRICS countries. Consequently, diversifying one’s portfolio between these markets would not yield substantial economic value for investors. Also, the study finds the same pattern of flow in asymmetric volatility spillover but at a different significance level. To the best of the authors’ knowledge, this is the first study investigating the asymmetric volatility spillover effect among BRICS countries’ stock indices using the DCC-MGARCH and AGDCC-MGARCH models.
Description: B. A. Joo, University of Kashmir, Srinagar, Jammu and Kashmir, India | Y. A. Ghulam, University of Kashmir, Srinagar, Jammu and Kashmir, India | S. I. Mir, University of Kashmir, Srinagar, Jammu and Kashmir, India
p. 473-488
URI: https://ir.iimcal.ac.in:8443/jspui/handle/123456789/4841
ISSN: 0304-0941(print version)
Appears in Collections:Issue 4, December 2023

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