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Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework

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  • Bhar, Ramaprasad
  • Nikolova, Biljana

Abstract

This paper examines the level of integration and the dynamic relationship between the BRIC countries, their respective regions and the world. We find that India shows the highest level of regional and global integration among the BRIC countries, followed by Brazil and Russia and lastly by China. There is a negative relationship between the location conditional volatility of India with that of the Asia-Pacific region and of China with the world, which indicates a presence of diversification opportunities for portfolio investors. Portfolio investors can continue to receive sound returns from taking positions in the index of these countries, however for an outstanding investment performance, they should consider investing in specific areas of growth within the economy rather than the country index.

Suggested Citation

  • Bhar, Ramaprasad & Nikolova, Biljana, 2009. "Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework," Global Finance Journal, Elsevier, vol. 19(3), pages 203-218.
  • Handle: RePEc:eee:glofin:v:19:y:2009:i:3:p:203-218
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