Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach |
| |
| Institution: | 1. Department of Finance, Waikato Management School, University of Waikato, Private Bag 3105, Hamilton, 3240, New Zealand;2. Graduate School of Business and Law, RMIT University, 379-405 Russell St., Melbourne, VIC 3000, Australia;1. Department of Shipping, Trade and Transport, School of Business Studies, University of the Aegean, 2A Korai str., 82100 Chios, Greece;2. Audencia Nantes School of Management, 8, Route de la Joneliere, BP 31222, 44312 Nantes, France;3. Department of Finance and Accounting, University of Tunis El Manar, B.P. 248, C.P. 2092, Tunis Cedex, Tunisia |
| |
| Abstract: | This paper examines mean-to-mean, volatility-to-mean and volatility-to-volatility spillover effects for the stock markets of BRIC countries. External and internal spillovers of returns and volatilities are estimated using 4-dimensional BEKK-GARCH-in-mean model. The model also includes the returns of stock markets in the USA, Germany, Japan and the MSCI Emerging market index, as well as time-return interaction terms which allow taking into account the dynamics of their influence on BRIC stock markets during pre-crisis, crisis and recovery time periods. Some evidence for the famous ‘decoupling’ phenomenon is found. The research contributes to the literature on spillover effects by using multivariate GARCH models. |
| |
| Keywords: | Spillover effects Multivariate GARCH-in-mean BRIC Market integration ‘Decoupling’ phenomenon |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
