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Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach

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  • Gilenko, Evgenii
  • Fedorova, Elena

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.

Suggested Citation

  • Gilenko, Evgenii & Fedorova, Elena, 2014. "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 32-45.
    • Handle: RePEc:eee:riibaf:v:31:y:2014:i:c:p:32-45
    DOI: 10.1016/j.ribaf.2013.11.002
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