Economics at your fingertips  

Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets

Wasim Ahmad, Anil Mishra () and Kevin Daly

International Review of Financial Analysis, 2018, vol. 59, issue C, 117-133

Abstract: This study examines the dynamic dependence structure via return and volatility spillovers between BRIC (Brazil, Russia, India, and China) and global markets (USA, Europe, and World) at sectoral level. Using directional spillover and dynamic conditional correlation models, we find that there is substantial evidence of heterogeneity across sample sectors within BRIC and between BRIC and global indices. The sectors that exhibit high inter-country spillovers are industrial metal & mining, banking, industrial transportation and oil & gas. The regional and global indices represented by Europe and World show better spillover mechanism than any other indices, implying that these global sectoral indices impact the sectoral indices returns of BRIC markets. The dynamic hedge ratios and portfolio weights suggest that among BRIC, the sectoral indices of China and India provide better opportunities for risk management than Brazil and Russia. We thus conclude that the heterogeneous dependence structure makes BRIC as a diverse asset class from strategic asset allocation perspective.

Keywords: C32; C58; G1 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.irfa.2018.07.005

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().

Page updated 2021-05-18
Handle: RePEc:eee:finana:v:59:y:2018:i:c:p:117-133