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Stock Return Volatility Effect: Study of BRICS

Author

Listed:
  • Nawal Kishor

    (SOMS, IGNOU, Maidan Garhi, New Delhi ¡V 110068)

  • Raman Preet Singh

    (SBS, Vivekananda Institute of Professional Studies, Delhi-34)

Abstract

The present study examines the stock return volatility relationship of emerging economies from 2007 to 2013 which also includes the financial crisis of 2008 and its impact on emerging economies of the world. For the methodology, GARCH model is used to examine the impact of news coming from US which is affecting the returns of global index S&P 500 as well as the returns generated by the indices of the BRICS countries. The study found that BRICS stock market except Brazil and Chinese stock market has been significantly affected by the news of in US stock market. There exists a significant difference in the stock return volatility in all the countries stock markets. These findings have important implication for the investors seeking portfolio diversification. This study is important for the Foreign Institutional Investors (FIIs) and Domestic Institutional Investors (DIIs).Since the study is confined to BRICS stock market only, effect of FIIs investment and influence of developed stock markets returns cannot be ruled out.

Suggested Citation

  • Nawal Kishor & Raman Preet Singh, 2014. "Stock Return Volatility Effect: Study of BRICS," Transnational Corporations Review, Ottawa United Learning Academy, vol. 6(4), pages 406-418, December.
    • Handle: RePEc:oul:tncr09:v:6:y:2014:i:4:p:406-418
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    Citations

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    Cited by:

    1. Salisu, Afees A. & Gupta, Rangan, 2021. "Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach," Global Finance Journal, Elsevier, vol. 48(C).
    2. Ji, Hao & Wang, Hao & Zhong, Rui & Li, Min, 2020. "China's liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach," Economic Modelling, Elsevier, vol. 93(C), pages 187-204.
    3. Dirceu Pereira, 2018. "Financial Contagion in the BRICS Stock Markets: An empirical analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 2(1), pages 1-44.
    4. Kashif Hamid & Rana Shahid Imdad Akash & Muhammad Mudasar Ghafoor, 2018. "Volatility of Regional Sharia Compliance Returns and US News Impact," Global Regional Review, Humanity Only, vol. 3(1), pages 294-307, June.
    5. Murat Akkaya, 2021. "An Analysis of the Stock Market Volatility Spread in Emerging Countries," Istanbul Business Research, Istanbul University Business School, vol. 50(2), pages 215-233, November.
    6. Islam , K. M. Zahidul & Ahmed, Sayed Farrukh, 2015. "Stock Market Crash and Stock Return Volatility: Empirical Evidence from Dhaka Stock Exchange," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 38(3), pages 25-34, September.

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