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Testing volatility and relationship among BRICS stock market returns

Author

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  • Soumya Ganguly

    (Barrackpore Rastraguru Surendranath College)

  • Amalendu Bhunia

    (University of Kalyani)

Abstract

BRICS economies are important in recent times because the economic growth rates will be higher than the growth rates of G-6 economies in the near future. But the year 2020 has smashed up this tendency due to volatile stock markets of BRICS economies. A detailed examination of the BRICS stock market to determine volatility and relationships since the crisis of 2020 is hardly available in the available research. With this in mind, an attempt has been made to track the stock market's volatility and relationship among the BRICS (Brazil, Russia, India, China, and South Africa) stock market return based on the daily for the period from November 18, 2019 to May 7, 2021. This study deals with the statistical test of GARCH family model and ARDL model. GARCH model shows that the stock market of Russia and India are volatile. The EGARCH model demonstrates that leverage effect exists only in the Indian stock market. ARDL test validates a long-run relationship of the stock market of Russia with China and of the Indian stock market with South Africa. ARDL test also shows a short-run relationship running from the Brazil stock market to the other select stock market, from the Indian stock market to the stock markets of Brazil and South Africa, and from the South African stock market to the Indian stock market. So it can finally be said that investors under the BRICS stock markets should design adequate measures to protect their investments by executing appropriate hedging plan.

Suggested Citation

  • Soumya Ganguly & Amalendu Bhunia, 2022. "Testing volatility and relationship among BRICS stock market returns," SN Business & Economics, Springer, vol. 2(8), pages 1-15, August.
    • Handle: RePEc:spr:snbeco:v:2:y:2022:i:8:d:10.1007_s43546-022-00267-6
    DOI: 10.1007/s43546-022-00267-6
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    References listed on IDEAS

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    Cited by:

    1. Nyakurukwa, Kingstone & Seetharam, Yudhvir, 2023. "Quantile and asymmetric return connectedness among BRICS stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    2. Olivier Niyitegeka & Alexis Habiyaremye, 2024. "Financial Contagion between German and BRICS Stock Markets under Multiscale Scrutiny," JRFM, MDPI, vol. 17(9), pages 1-19, September.
    3. Hassan Zada & Huma Maqsood & Shakeel Ahmed & Muhammad Zeb Khan, 2023. "Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia," SN Business & Economics, Springer, vol. 3(1), pages 1-22, January.

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    More about this item

    Keywords

    BRICS stock markets; Volatility; Relationship; GARCH; EGARCH; ARDL;
    All these keywords.

    JEL classification:

    • F02 - International Economics - - General - - - International Economic Order and Integration
    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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