Uncovering equity market contagion among BRICS countries: an application of the multivariate GARCH model

Lumengo Bonga-Bonga

MPRA Paper from University Library of Munich, Germany

Abstract: This paper assesses the extent of the transmission of financial shocks between South Africa and other members of the BRICS grouping in order to infer the degree of contagion during the period 1996-2012. The paper makes use of a multivariate VAR-DCC-GARCH model for this end. The paper finds evidence of cross-transmission and dependence between South Africa and Brazil. However, the empirical results show that South Africa is more affected by crises originating from China, India and Russia than these countries are by crises originating from South Africa. The findings of this paper should be of interest to policy makers in the BRICS grouping should they be considering the possibility of full capital market liberalization and to the international investor who is looking at diversifying portfolios in the BRICS grouping.

Keywords: contagion; BRICS; VAR-DCC-GARCH (search for similar items in EconPapers)
JEL-codes: C58 F36 G15 (search for similar items in EconPapers)
Date: 2015-08-24
New Economics Papers: this item is included in nep-cis and nep-ger
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Uncovering equity market contagion among BRICS countries: An application of the multivariate GARCH model (2018)
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