Financial connectedness of BRICS and global sovereign bond markets |
| |
| Institution: | 1. Department of Economic Science, Indian Institute of Technology Kanpur, Uttar Pradesh, 208016, India;2. Western Sydney University, School of Business, Australia;1. University of the Aegean, Department of Business Administration, 8 Michalon, Str., 82100 Chios, Greece;2. University of Peloponnese, Department of Economics, Greece;1. Central Bank of the Republic of Turkey, Anafartalar Mah. Istiklal Cad. No:10 06050, Ankara, Turkey;2. Department of Economics, University of Pretoria, Pretoria, 0002, South Africa;1. Indian Institute of Technology Madras, India;2. Madras School of Economics, India |
| |
| Abstract: | The paper examines the financial connectedness via return and volatility spillovers between Brazil, Russia, India, China and South Africa (BRICS) and three global bond market indices represented by the United States of America (USA), European Monetary Union (EMU) and Japan for the period 01 January 1997 to 27 July 2016 (weekly data). We find that Russia followed by South Africa is the net transmitter of shocks within BRICS, implying that the risk arising from these markets may have an adverse impact on others in BRICS. However, China and India exhibit weak connectedness, suggesting that these markets may be useful for hedging and diversification opportunities in BRICS. The networks of pairwise spillover results further confirm this. Among global indices, China appears as highly interconnected with the USA. USA is the strongest transmitter of shocks to BRICS bond indices. The panel data results further confirm the significant determinants of net directional spillover. Thus, we can conclude that BRICS is a heterogeneous asset class even in the case of the bond market. India and China are the markets to look for better risk management strategies. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
