 Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock marketsRon P. McIver and Sang Hoon Kang Research in International Business and Finance, 2020, vol. 54, issue C Abstract: We examine the spillover dynamics between the U.S. and BRICS stock markets using the multivariate DECO-GJR-GARCH model and spillover index method. We identify time variations in volatility equicorrelation and significant dynamic spillovers between these stock markets, as well as an increased impact of uncertainty on spillovers. Spillovers between markets intensify after the inception of the global financial crisis and subsequent European sovereign debt crisis. We also find, following the commencement of the crisis periods, that the U.S., Brazilian, and Chinese markets are net volatility transmitters, whereas the Russian, Indian, and South African markets are net recipients. These results shed new light on the information transmission channels between the U.S. and BRICS stock markets. Keywords: Volatility spillover; Directional spillover index; Net spillover index; Multivariate DECO-GJR-GARCH model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:54:y:2020:i:c:s027553191830789x DOI: 10.1016/j.ribaf.2020.101276 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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