Symmetric and asymmetric volatility spillover among BRICS countries' stock markets

IF 1.5 Q3 MANAGEMENT

Decision Pub Date : 2024-01-06 DOI:10.1007/s40622-023-00368-7

Bashir Ahmad Joo, Younis Ahmed Ghulam, Simtiha Ishaq Mir

引用次数: 0

Abstract

The primary objective of this paper is to analyze the volatility dynamics and spillover, symmetric and asymmetric, among BRICS countries' stock markets. The paper employed dynamic conditional correlation and asymmetric generalized dynamic conditional correlation models to examine the bidirectional volatility spillover. The study preferred these sophisticated and flexible models as they have several advantages over other econometric models. The findings of the study indicate a long-term integration and a significant bidirectional spillover effect (both symmetric and asymmetric), suggesting a close relationship among the stock markets of BRICS countries. Consequently, diversifying one's portfolio between these markets would not yield substantial economic value for investors. Also, the study finds the same pattern of flow in asymmetric volatility spillover but at a different significance level. To the best of the authors' knowledge, this is the first study investigating the asymmetric volatility spillover effect among BRICS countries' stock indices using the DCC-MGARCH and AGDCC-MGARCH models.

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金砖国家股票市场波动溢出的对称性和非对称性

本文的主要目的是分析金砖国家股票市场的对称和非对称波动动态和溢出效应。本文采用动态条件相关模型和非对称广义动态条件相关模型来研究双向波动溢出。与其他计量经济学模型相比，这些模型具有一些优势，因此研究首选这些复杂而灵活的模型。研究结果表明，金砖五国股票市场长期一体化并具有显著的双向溢出效应（对称和非对称），这表明金砖五国股票市场之间的关系密切。因此，在这些市场之间分散投资组合不会为投资者带来实质性的经济价值。此外，研究还发现了非对称波动溢出的相同流动模式，但显著性水平不同。据作者所知，这是第一项使用 DCC-MGARCH 和 AGDCC-MGARCH 模型研究金砖国家股指间非对称波动溢出效应的研究。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Decision MANAGEMENT-

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： The aim of the Journal, Decision, is to publish qualitative, quantitative, survey-based, simulation-based research articles at the national and sub-national levels. While there is no stated regional focus of the journal, we are more interested in examining if and how individuals, firms and governments in emerging economies may make decisions differently. Published for the management scholars, business executives and managers, the Journal aims to advance the management research by publishing empirically and theoretically grounded articles in management decision making process. The Editors aim to provide an efficient and high-quality review process to the authors. The Journal accepts submissions in several formats such as original research papers, case studies, review articles and book reviews (book reviews are only by invitation). The Journal welcomes research-based, original and insightful articles on organizational, individual, socio-economic-political, environmental decision making with relevance to theory and practice of business. It also focusses on the managerial decision-making challenges in private, public, private-public partnership and non-profit organizations. The Journal also encourages case studies that provide a rich description of the business or societal contexts in managerial decision-making process including areas – but not limited to – conflict over natural resources, product innovation and copyright laws, legislative or policy change, socio-technical embedding of financial markets, particularly in developing economy, an ethnographic understanding of relations at a workplace, or social network in marketing management, etc. Research topics covered in the Journal include (but not limited to): Finance and Accounting Organizational Theory and Behavior Decision Science Public Policy-Economic Insights Operation Management Innovation and Entrepreneurship Information Technology and Systems Management Optimization and Modelling Supply Chain Management Data Analytics Marketing Management Human Resource Management