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Spillovers and financial integration in emerging markets: Analysis of BRICS economies within a VAR‐BEKK framework

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  • Saswat Patra
  • Pradiptarathi Panda

Abstract

This study estimates the return and volatility spillovers among the BRICS countries (internal) and between BRICS, gold, oil and US stock markets (external). We find that internal return and volatility spillovers are higher than their external spillover counterparts. Thus, investors would be better off diversifying their investments in gold, oil and US stock markets along with the emerging economies. Interestingly, we also find that the return spillovers are higher than their volatility spillover counterparts, thus presenting investors with an opportunity to diversify their portfolio risk. With respect to portfolio constitution, South Africa emerges as the top choice for investment within the BRICS, whereas gold is the preferred choice for investors outside the BRICS economies.

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  • Saswat Patra & Pradiptarathi Panda, 2021. "Spillovers and financial integration in emerging markets: Analysis of BRICS economies within a VAR‐BEKK framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 493-514, January.
    • Handle: RePEc:wly:ijfiec:v:26:y:2021:i:1:p:493-514
    DOI: 10.1002/ijfe.1801
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    Cited by:

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    3. Patel, Ritesh & Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Yarovaya, Larisa, 2022. "A bibliometric review of financial market integration literature," International Review of Financial Analysis, Elsevier, vol. 80(C).
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    5. Zhu, Huiming & Huang, Xi & Ye, Fangyu & Li, Shuang, 2024. "Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).

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