Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets
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DOI: 10.1016/j.iref.2016.09.004
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More about this item
Keywords
Volatility; Spillover; BRICS; Emerging markets; GARCH;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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