Testing volatility and relationship among BRICS stock market returns

Soumya Ganguly () and Amalendu Bhunia ()
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Soumya Ganguly: Barrackpore Rastraguru Surendranath College

SN Business & Economics, 2022, vol. 2, issue 8, 1-15

Abstract: 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.

Keywords: BRICS stock markets; Volatility; Relationship; GARCH; EGARCH; ARDL (search for similar items in EconPapers)
JEL-codes: F02 G1 G15 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s43546-022-00267-6

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