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Do BRIC countries stock market volatility move together? An empirical analysis of using multivariate GARCH models

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  • Naliniprava Tripathy

Abstract

This study investigates the stock return volatility of BRIC countries for 15 years from January 2000 to September 2015 by using GARCH, CHARMA, APARCH and CGARCH models. The study finds the presence of asymmetric and leverage effects in all BRIC countries stock market return. The analysis also reports that the time varying long-run volatility component is more persistent in Chinese and Russian stock markets. The temporary effect of short-run volatility persistence is found in Indian and Brazilian stock markets. The empirical result further exhibits that volatility shocks are quite persistent in all BRIC countries stock markets revealing the changing pattern of volatility over time. The CUSUM of square test also confirms that volatility is changing over time in all BRIC countries stock markets. It is suggested that an investor can leverage expected amount of return by investing in Indian and Brazilian stock markets. The study also proposes that investors are advised to be more sensible towards volatility dynamics of BRIC countries stock markets for favourable portfolio selection and managing financial risks before making investment decisions to leverage real return on the market.

Suggested Citation

  • Naliniprava Tripathy, 2017. "Do BRIC countries stock market volatility move together? An empirical analysis of using multivariate GARCH models," International Journal of Business and Emerging Markets, Inderscience Enterprises Ltd, vol. 9(2), pages 104-123.
    • Handle: RePEc:ids:ijbema:v:9:y:2017:i:2:p:104-123
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    Cited by:

    1. Yutaka Kurihara, 2018. "Occurred Uncertainty by ‘News’ in Japanese Short- and Long-Term Financial Markets," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 4(4), pages 93-98, 04-2018.
    2. Rashmi Chaudhary & Priti Bakhshi & Hemendra Gupta, 2020. "Volatility in International Stock Markets: An Empirical Study during COVID-19," JRFM, MDPI, vol. 13(9), pages 1-17, September.

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