Symmetric and asymmetric volatility spillover among BRICS countries' stock markets

Bashir Ahmad Joo, Younis Ahmed Ghulam () and Simtiha Ishaq Mir
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Bashir Ahmad Joo: University of Kashmir
Younis Ahmed Ghulam: University of Kashmir
Simtiha Ishaq Mir: University of Kashmir

DECISION: Official Journal of the Indian Institute of Management Calcutta, 2023, vol. 50, issue 4, No 6, 473-488

Abstract: Abstract The primary objective of this paper is to analyze the volatility dynamics and spillover, symmetric and asymmetric, among BRICS countries' stock markets. The paper employed dynamic conditional correlation and asymmetric generalized dynamic conditional correlation models to examine the bidirectional volatility spillover. The study preferred these sophisticated and flexible models as they have several advantages over other econometric models. The findings of the study indicate a long-term integration and a significant bidirectional spillover effect (both symmetric and asymmetric), suggesting a close relationship among the stock markets of BRICS countries. Consequently, diversifying one's portfolio between these markets would not yield substantial economic value for investors. Also, the study finds the same pattern of flow in asymmetric volatility spillover but at a different significance level. To the best of the authors' knowledge, this is the first study investigating the asymmetric volatility spillover effect among BRICS countries' stock indices using the DCC-MGARCH and AGDCC-MGARCH models.

Keywords: Volatility spillover; DCC-GARCH; Volatility; AGDCC-GARCH; Asymmetric volatility spillover; Bi-directional volatility (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s40622-023-00368-7

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