Study of BRICS stock return volatility during and after subprime crisis

Nawal Kishor and Raman Preet Singh

International Journal of Business and Globalisation, 2017, vol. 18, issue 2, 233-250

Abstract: This paper studies the dynamic relationship between the stock returns volatility in the emerging financial markets, i.e., BRICS stock markets. The paper examined the volatility of each individual BRICS stock market returns during and after the 2008 US subprime crisis. The time series data of closing stock prices for four years was collected on daily basis from 1st January, 2007 to 31st December, 2010. For the methodology generalised auto regressive conditional hetroscedasticity (GARCH) model has been used to examine the difference in the stock return volatility of the respective BRICS stock indices during and after US subprime crisis of 2008 on individual basis. The study found that BRICS stock market except Russian stock market has been significantly affected by the news of recession in US stock market and stock returns volatility has significantly changed during the crisis and recovery periods but these changes are not uniform and depend upon the individual markets. This study is important for the foreign institutional investors (FIIs) and domestic institutional investors (DIIs) seeking portfolio diversification.

Keywords: stock return volatility; stock market returns; inter linkages; global crisis; portfolio diversification; conditional variance; GARCH; BRICS countries; subprime crisis; stock markets; stock market volatility; Brazil; Russia; India; China; South Africa. (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbglo:v:18:y:2017:i:2:p:233-250

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