给予胜于接受:金砖国家股市研究

IF 1.2 Q3 BUSINESS, FINANCE
Pradiptarathi Panda, W. Ahmad, M. Thiripalraju
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引用次数: 0

摘要

本研究采用MGARCH-BEEK模型和Diebold–Yilmaz(DY)波动溢出指数来检验金砖国家股市的波动溢出。研究发现,自身的波动溢出超过了跨市场,并且在金融危机期间有所增加。相比之下,金融危机后,跨市场波动溢出效应有所减少。与危机后(6.30%)和整个样本期(10.70%)相比,危机期间(27.30%)和危机前(25.50%)的总净回报溢出增加。巴西是金砖国家股市中净波动率最高的国家,中国是净波动率最大的国家。我们从波动性网络的连通性中了解到,中国和印度在波动性方面有着高度的联系。外国机构投资者可以利用这项研究的结果来寻找金砖国家股市的多元化机会。JEL代码:F3、G11、G12、G15
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Better to Give than to Receive: A Study of BRICS Countries Stock Markets
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
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来源期刊
CiteScore
1.80
自引率
33.30%
发文量
19
期刊介绍: The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.
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