IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Analysis of Mean and Volatility Spillovers Using BRIC Countries, Regional and World Equity Index Returns

  • Bhar, Ramaprasad

    ()

    (The University of New South Wales)

  • Nikolova, Biljana

    (The University of New South Wales)

Registered author(s):

    This paper analyses the degree of integration of the BRIC countries on a regional and global basis, achieved by using daily equity index level data. The paper concludes that a high degree of integration exists between the BRIC countries and their respective regions, and to a lesser extent, the rest of the world. Regional trends are found to have a much greater influence than world trends upon the stock return process of the BRIC countries. The world index returns, and most likely the US equity market returns, have a significant influence upon the variance of returns seen across Brazil, Russia and India. China is the only country where there exists a negative relationship between volatility spillover effects on a regional and global basis. This suggests existence of diversification opportunities for investment managers. Global portfolio managers can still add value from investments in these countries, however the increased levels of integration of these economies highlight the need for portfolio stock selection strategies as well as investment in specific growth areas within these economies, rather than taking a position in the country index.

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Article provided by Center for Economic Integration, Sejong University in its journal Journal of Economic Integration.

    Volume (Year): 22 (2007)
    Issue (Month): ()
    Pages: 369-381

    as
    in new window

    Handle: RePEc:ris:integr:0398
    Contact details of provider: Web page: http://www.e-jei.org/

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ris:integr:0398. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jong-Eun Lee)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.