Stock Return Volatility Effect: Study of BRICS

被引：6

作者：

Kishor, Nawal ^{[1
]}

Singh, Raman Preet ^{[2
]}

机构：

[1] IGNOU, SOMS, New Delhi 110068, India

[2] Vivekananda Inst Profess Studies, SBS, Delhi 34, India

来源：

TRANSNATIONAL CORPORATIONS REVIEW | 2014年 / 6卷 / 04期

关键词：

Volatility; stock market return; Inter linkages; global crisis; portfolio diversification; conditional variance;

D O I：

10.5148/tncr.2014.6406

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The present study examines the stock return volatility relationship of emerging economies from 2007 to 2013 which also includes the financial crisis of 2008 and its impact on emerging economies of the world. For the methodology, GARCH model is used to examine the impact of news coming from US which is affecting the returns of global index S&P 500 as well as the returns generated by the indices of the BRICS countries. The study found that BRICS stock market except Brazil and Chinese stock market has been significantly affected by the news of in US stock market. There exists a significant difference in the stock return volatility in all the countries stock markets. These findings have important implication for the investors seeking portfolio diversification. This study is important for the Foreign Institutional Investors (FIIs) and Domestic Institutional Investors (DIIs). Since the study is confined to BRICS stock market only, effect of FIIs investment and influence of developed stock markets returns cannot be ruled out.

引用

页码：406 / 418

页数：13

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