Commonality in BRICS stock markets’ reaction to global economic policy uncertainty: Evidence from a panel GARCH model with cross sectional dependence

Suleiman Mamman, Zhanqin Wang and Jamilu Iliyasu

Finance Research Letters, 2023, vol. 55, issue PA

Abstract: The rapid growth of BRICS has increasingly integrated their markets into the global economy. Thus, making their financial markets more vulnerable to external shocks. This study examines BRICS stock markets’ response to global economic policy uncertainty using a panel GARCH model. The results show that global economic policy uncertainty significantly raises volatility with homogeneous response across the markets. The findings also suggests that COVID-19 has amplified the adverse impact of the uncertainties on prices and volatility. One major implication of the findings is that the BRICS can develop a joint policy for mitigating policy uncertainties spillovers.

Keywords: Stock market returns; Economic policy uncertainty; Panel GARCH; Market integration; Homogenous; BRICS; Emerging market (search for similar items in EconPapers)
JEL-codes: C33 G15 G18 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002490

DOI: 10.1016/j.frl.2023.103877

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