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Commonality in BRICS stock markets’ reaction to global economic policy uncertainty: Evidence from a panel GARCH model with cross sectional dependence

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  • Mamman, Suleiman O.
  • Wang, Zhanqin
  • Iliyasu, Jamilu

Abstract

The rapid growth of BRICS has increasingly integrated their markets into the global economy. Thus, making their financial markets more vulnerable to external shocks. This study examines BRICS stock markets’ response to global economic policy uncertainty using a panel GARCH model. The results show that global economic policy uncertainty significantly raises volatility with homogeneous response across the markets. The findings also suggests that COVID-19 has amplified the adverse impact of the uncertainties on prices and volatility. One major implication of the findings is that the BRICS can develop a joint policy for mitigating policy uncertainties spillovers.

Suggested Citation

  • Mamman, Suleiman O. & Wang, Zhanqin & Iliyasu, Jamilu, 2023. "Commonality in BRICS stock markets’ reaction to global economic policy uncertainty: Evidence from a panel GARCH model with cross sectional dependence," Finance Research Letters, Elsevier, vol. 55(PA).
    • Handle: RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002490
    DOI: 10.1016/j.frl.2023.103877
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    More about this item

    Keywords

    Stock market returns; Economic policy uncertainty; Panel GARCH; Market integration; Homogenous; BRICS; Emerging market;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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