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A Short Note on Information Transmissions Across US-BRIC Equity Markets: Evidence from Volatility Spillover Index

Author

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  • Amanjot Singh

    () (Punjabi University)

  • Parneet Kaur

    () (Punjabi University)

Abstract

Abstract The present study is the first of its kind capturing information transmissions among the US and BRIC equity markets through the creation of a total spillover index across the years 2004–2014 and average directional volatility spillovers by employing ARMA (1,1) EGARCH-M (1,1) model and Diebold and Yilmaz’s (Int J Forecast 28(1):57–66, 2011) generalized spillover index under vector autoregression framework. The results spotlight increasing volatility spillover effects or information transmissions during adverse market scenarios, i.e. there are bi-directional volatility spillover effects among the markets undertaken; even confirmed by Markov regime switching model results. On an average, around 38 $$\,\%$$ % of the variations are accounted due to the spillover effects. At the same time, both the US and Brazilian markets are found to be net transmitters of volatility, whereas the rest of the markets are net receivers of volatility. The Indian equity market is greatly affected by cross market variations, whereas the Brazilian equity market is found to be the dominant transmitter of volatility. The findings have important implications for international portfolio risk managers and different institutional investors.

Suggested Citation

  • Amanjot Singh & Parneet Kaur, 2017. "A Short Note on Information Transmissions Across US-BRIC Equity Markets: Evidence from Volatility Spillover Index," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(1), pages 197-208, March.
  • Handle: RePEc:spr:jqecon:v:15:y:2017:i:1:d:10.1007_s40953-016-0047-2
    DOI: 10.1007/s40953-016-0047-2
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    References listed on IDEAS

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    More about this item

    Keywords

    BRIC; Spillover; US; Volatility;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance

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