Stock Return Volatility Effect: Study of BRICS

Nawal Kishor () and Raman Preet Singh ()
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Nawal Kishor: SOMS, IGNOU, Maidan Garhi, New Delhi ¡V 110068
Raman Preet Singh: SBS, Vivekananda Institute of Professional Studies, Delhi-34

Transnational Corporations Review, 2014, vol. 6, issue 4, 406-418

Abstract: The present study examines the stock return volatility relationship of emerging economies from 2007 to 2013 which also includes the financial crisis of 2008 and its impact on emerging economies of the world. For the methodology, GARCH model is used to examine the impact of news coming from US which is affecting the returns of global index S&P 500 as well as the returns generated by the indices of the BRICS countries. The study found that BRICS stock market except Brazil and Chinese stock market has been significantly affected by the news of in US stock market. There exists a significant difference in the stock return volatility in all the countries stock markets. These findings have important implication for the investors seeking portfolio diversification. This study is important for the Foreign Institutional Investors (FIIs) and Domestic Institutional Investors (DIIs).Since the study is confined to BRICS stock market only, effect of FIIs investment and influence of developed stock markets returns cannot be ruled out.

Keywords: Volatility; stock market return; Inter linkages; global crisis; portfolio diversification; conditional variance (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:oul:tncr09:v:6:y:2014:i:4:p:406-418

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