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Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices

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  • Gagan Sharma
  • Parthajit Kayal
  • Piyush Pandey

Abstract

In this article, we examine the information linkages of the forward-looking measure of volatility, the volatility index (VIX), for underlying equity market indices of BRICS countries—Brazil, Russia, India, China and South Africa. A study of the information transmission process confirmed a long-run equilibrium relationship between pairs of BRICS countries. The multivariate generalised autoregressive conditional heteroscedasticity (MGARCH) model revealed strong intertemporal linkages between sample VIX. Return and volatility spill-over matrix show the varying degree of connectedness of BRICS VIX across the study period. This study contributes to the international finance literature and has important implications for investors, portfolio managers, policymakers and academia. JEL Classification: C58, F36, G11, G14, G15

Suggested Citation

  • Gagan Sharma & Parthajit Kayal & Piyush Pandey, 2019. "Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(3), pages 263-289, December.
    • Handle: RePEc:sae:emffin:v:18:y:2019:i:3:p:263-289
    DOI: 10.1177/0972652719846315
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    2. Khalfaoui, Rabeh & Hammoudeh, Shawkat & Rehman, Mohd Ziaur, 2023. "Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network," Emerging Markets Review, Elsevier, vol. 54(C).
    3. Gong, Jue & Wang, Gang-Jin & Zhou, Yang & Zhu, You & Xie, Chi & Foglia, Matteo, 2023. "Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
    4. Bahram Adrangi & Arjun Chatrath, 2022. "Dynamic Responses of Major Pacific Rim Emerging Equity Markets to the US Crude Oil Fear Index (OVX)," Bulletin of Applied Economics, Risk Market Journals, vol. 9(1), pages 51-84.
    5. Zhi Dong & Tien Foo Sing, 2021. "Do Investors Overreact for Property and Financial Service Sectors?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 20(1), pages 79-123, April.
    6. Pradiptarathi Panda & Wasim Ahmad & M. Thiripalraju, 2023. "Better to Give than to Receive: A Study of BRICS Countries Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 22(2), pages 164-188, June.
    7. Nyakurukwa, Kingstone & Seetharam, Yudhvir, 2023. "Quantile and asymmetric return connectedness among BRICS stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).

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    More about this item

    Keywords

    Information linkages; volatility index; BRICS; VIX; DCC GARCH; Diebold and Yilmaz;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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