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Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets

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  • McIver, Ron P.
  • Kang, Sang Hoon

Abstract

We examine the spillover dynamics between the U.S. and BRICS stock markets using the multivariate DECO-GJR-GARCH model and spillover index method. We identify time variations in volatility equicorrelation and significant dynamic spillovers between these stock markets, as well as an increased impact of uncertainty on spillovers. Spillovers between markets intensify after the inception of the global financial crisis and subsequent European sovereign debt crisis. We also find, following the commencement of the crisis periods, that the U.S., Brazilian, and Chinese markets are net volatility transmitters, whereas the Russian, Indian, and South African markets are net recipients. These results shed new light on the information transmission channels between the U.S. and BRICS stock markets.

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  • McIver, Ron P. & Kang, Sang Hoon, 2020. "Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:riibaf:v:54:y:2020:i:c:s027553191830789x
    DOI: 10.1016/j.ribaf.2020.101276
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    More about this item

    Keywords

    Volatility spillover; Directional spillover index; Net spillover index; Multivariate DECO-GJR-GARCH model;
    All these keywords.

    JEL classification:

    • 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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