Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis

被引：112

作者：

Syriopoulos, Theodore ^{[1
,2
]}

Makram, Beljid ^{[3
]}

Boubaker, Adel ^{[3
]}

机构：

[1] Univ Aegean, Sch Business Studies, Dept Shipping Trade & Transport, Chios 82100, Greece

[2] Audencia Nantes Sch Management, F-44312 Nantes, France

[3] Univ Tunis El Manar, Dept Finance & Accounting, Tunis, Tunisia

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2015年 / 39卷

关键词：

BRICS markets; Dynamic volatility spillovers; VAR(k)-GARCH(p; q); model; Hedge ratios; Optimal portfolio allocation; AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY; OIL PRICES; MULTIVARIATE; CONTAGION; DYNAMICS; RETURNS; TRANSMISSION; INTEGRATION; INFERENCE; MODEL;

D O I：

10.1016/j.irfa.2015.01.015

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The paper investigates the dynamic risk-return properties of the BRICS (Brazil, Russia, India, China, South Africa) capital markets and models potential time-varying correlations and volatility spillover effects with the US stock market. A VAR(1)-GARCH(1,1) framework contributes useful insight into US-BRICS market interactions and expands on a thin past empirical literature. A disaggregated approach pays attention to critical US-BRICS business sectors, namely the industrial and financial sectors. Significant return and volatility transmission dynamics are identified between the US and BRICS stock markets and business sectors. This is a critical input that can affect efficient global portfolio diversification and risk management strategies. Based on this empirical evidence, the study proceeds to assess effective portfolio hedge ratios and to construct optimal portfolio weights for diversified asset allocation to US-BRICS markets and business sectors. (C) 2015 Elsevier Inc. All rights reserved.

引用

页码：7 / 18

页数：12

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