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Better to Give than to Receive: A Study of BRICS Countries Stock Markets

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  • Pradiptarathi Panda
  • Wasim Ahmad
  • M. Thiripalraju

Abstract

This study uses the MGARCH-BEKK model and Diebold–Yilmaz (DY) volatility spillover index to examine volatility spillovers among BRICS countries’ stock markets. The study finds that the own volatility spillover is more than the cross-markets and has increased during the financial crisis. In contrast, the cross-markets volatility spillovers have decreased after the financial crisis. The total net return spillover increased during the crisis period (27.30%) and the pre-crisis period (25.50%) in comparison with the post-crisis period (6.30%) and the whole sample period (10.70%). Brazil is the highest net volatility transmitter among the BRICS countries’ stock markets, and China is the highest net volatility receiver. We learned from the volatility network connectedness that China is highly connected with India regarding volatility. Foreign institutional investors may use this study’s result to find diversification opportunities across the BRICS stock markets. JEL Codes: F3, G11, G12, G15

Suggested Citation

  • Pradiptarathi Panda & Wasim Ahmad & M. Thiripalraju, 2023. "Better to Give than to Receive: A Study of BRICS Countries Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 22(2), pages 164-188, June.
    • Handle: RePEc:sae:emffin:v:22:y:2023:i:2:p:164-188
    DOI: 10.1177/09726527231154100
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    References listed on IDEAS

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    More about this item

    Keywords

    BRICS stock markets; global financial crisis; MGARCH-BEKK; volatility spillovers; Diebold–Yilmaz;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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