Volatility spillover between the Russia-India-China triad and the United States: A multivariate generalized autoregressive conditional heteroscedasticity analysis

E. Vlasova and D. Luo
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E. Vlasova: School of Economics, Zhejiang University, China
D. Luo: School of Economics, Zhejiang University, China

Journal of the New Economic Association, 2022, vol. 54, issue 2, 111-128

Abstract: This study is concerned with the identification of the economic links and volatility spillover effects between the United States and the Russia-India-China triad from 2010 to 2019. This decade is characterized by a lack of major global financial crises in the economy, although the liberalization of the Chinese stock market and the reciprocal sanctions between Russia and developed countries, followed by the trade wars between the United States and China changed the relationship between stock markets. This study tests three hypotheses. The first hypothesis is associated with the post-2014 change of interconnection between the Chinese and the Russian and the Indian stock markets. The second hypothesis tests the fact that the Russian market has become less dependent on the US market. The third hypothesis: the trade war between the United States and China increased the volatility spillover effects between financial markets. The multivariate GARCH BEKK model was used for calculations. The research results presented herein can be used to draw conclusions about the general current situation in the world stock markets and their future development trends, as well as for a more complete understanding of the mechanisms of interaction and mutual influence of financial markets for possible diversification of the investment portfolio.

Keywords: volatility spillover effects; RIC; asymmetric BEKK model; stock market; multivariate GARCH (search for similar items in EconPapers)
JEL-codes: G1 G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2022:i:54:p:111-128

DOI: 10.31737/2221-2264-2022-54-2-6

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