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Stock Market Volatility Spillovers in G7 and BRIC

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  • Ping Zhang
  • Yezhou Sha
  • Yifan Xu

Abstract

With the global integration development, the linkage between countries is strengthened in the dynamic spillover effects between BRIC and G7 from 2009 to 2020. We find that G7 is the exporter of risk, and BRIC is the receiver of the risk. We build the spillover model from the DAG-SVAR model. In the static spillover analysis, the net spillover of G7 is higher than that of BRIC. In the dynamic spillover analysis, the total systemic spillover is highly consistent with the world’s risk events. We also consider the directional spillover between G7 and BRIC, and find the volatility spillover of G7 to other markets is higher than that of BRIC. Furthermore, we use the European Debt Crisis, the China-US Trade War, and the Covid-19 Pandemic to study the spillover network’s dynamic evolution. We find that the global financial market’s spillover network is enhanced, and the volatility net spillover increased rapidly after the corresponding events. Specifically, after the Wuhan lockdown, China’s net spillover increased sharply to 264%, ranked first globally, and the net volatility spillover connectedness increased substantially after the Covid-19 Pandemic.

Suggested Citation

  • Ping Zhang & Yezhou Sha & Yifan Xu, 2021. "Stock Market Volatility Spillovers in G7 and BRIC," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(7), pages 2107-2119, May.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:7:p:2107-2119
    DOI: 10.1080/1540496X.2021.1908256
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    Citations

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    Cited by:

    1. Niu, Jing & Ma, Chao & Wang, Yunpeng & Chang, Chun-Ping & Wang, Haijie, 2022. "The pricing of China stock index options based on monetary policy uncertainty," Journal of Asian Economics, Elsevier, vol. 81(C).
    2. Zhang, Ping & Yin, Shiqi & Sha, Yezhou, 2023. "Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    3. Billah, Mabruk & Karim, Sitara & Naeem, Muhammad Abubakr & Vigne, Samuel A., 2022. "Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness," Research in International Business and Finance, Elsevier, vol. 62(C).
    4. Carlos David Cardona-Arenas & Rafael Gómez-Gómez & Eliana Morales-Zuluaga, 2023. "COVID-19 and its short-term informational impact on the stock markets of the Pacific Alliance countries," SN Business & Economics, Springer, vol. 3(5), pages 1-23, May.
    5. Bing, Tao & Ma, Hongkun, 2021. "COVID-19 pandemic effect on trading and returns: Evidence from the Chinese stock market," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 384-396.
    6. Naeem, Muhammad Abubakr & Hamouda, Foued & Karim, Sitara & Vigne, Samuel A., 2023. "Return and volatility spillovers among global assets: Comparing health crisis with geopolitical crisis," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 557-575.
    7. Nyakurukwa, Kingstone & Seetharam, Yudhvir, 2023. "Quantile and asymmetric return connectedness among BRICS stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    8. Mengli Xia & Zhang-Hangjian Chen & Piao Wang, 2022. "Dynamic Risk Spillover Effect between the Carbon and Stock Markets under the Shocks from Exogenous Events," Energies, MDPI, vol. 16(1), pages 1-15, December.
    9. Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
    10. Francisco Jareño & Ana Escribano & Zaghum Umar, 2023. "The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-12, December.
    11. Choi, Sun-Yong, 2022. "Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 179-193.

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