Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach

Evgenii Gilenko and Elena Fedorova

Research in International Business and Finance, 2014, vol. 31, issue C, 32-45

Abstract: This paper examines mean-to-mean, volatility-to-mean and volatility-to-volatility spillover effects for the stock markets of BRIC countries. External and internal spillovers of returns and volatilities are estimated using 4-dimensional BEKK-GARCH-in-mean model. The model also includes the returns of stock markets in the USA, Germany, Japan and the MSCI Emerging market index, as well as time-return interaction terms which allow taking into account the dynamics of their influence on BRIC stock markets during pre-crisis, crisis and recovery time periods. Some evidence for the famous ‘decoupling’ phenomenon is found. The research contributes to the literature on spillover effects by using multivariate GARCH models.

Keywords: Spillover effects; Multivariate GARCH-in-mean; BRIC; Market integration; ‘Decoupling’ phenomenon (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:31:y:2014:i:c:p:32-45

DOI: 10.1016/j.ribaf.2013.11.002

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