Analysis of Mean and Volatility Spillovers Using BRIC Countries, Regional and World Equity Index Returns

Bhar, Ramaprasad; Nikolova, Biljana

doi:10.11130/jei.2007.22.2.369

Cited by 39 publications

(18 citation statements)

References 10 publications

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“…Theory suggests markets are well-thought-out to be integrated once assets belonging to same risk class over and done with the efficiency of market, facilitate the similar predictable return regardless of their location. Rising concern in exercise of integration of worldwide different markets have generated an extensive quantity of effort in the capacity of spillover effect (Bhar & Nikolova, 2007).…”

Section: Theory Of Market Integrationmentioning

confidence: 99%

“…This section throws light on the brief literature review about the stock market indices and its integration particularly with the oil market. Rising concern in the practice of integration of worldwide different markets generated an extensive volume of work in the capacity of spillover impact (Bhar & Nikolova, 2007). According to Naifar & Al Dohaiman, (2013) the change in the oil prices upset the economies of oil exporter and importer countries both, GCC economies face uncertainty and abrupt changes in exports and the revenues generated by the Government due to its dependence on oil.…”

Section: Prior Literaturementioning

confidence: 99%

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The Impact of Change in Oil Prices on the Equity Markets of Oil Exporting and Importing Countries

Zahid¹

2018

bit

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This research work examines the level of the integration of equity markets of both oil importer and exporter countries based on impact of change in oil price attained by using the daily stock index data and oil price. The sample comprised of three oil importer countries Pakistan, India and Bangladesh along with three oil exporter countries Saudi Arab, Oman and UAE. For the purpose of analysis, the econometric technique mean and volatility spillover (ARMA 1, 1 and GARCH in Mean) is used. This investigation continues in two steps. First, is the impact of the economic shock in the prices of oil on returns of equity markets of both oil importer and exporter countries is studied and in the next step the impact of the same shock affecting the volatility of equity market of the sample countries is measured. The mean spillover impact from the variation in the oil price is constructive for oil importer and oil exporter countries both except for India. Volatility spillover impact is negative and significant for two oil importing countries like Pakistan, Bangladesh, and two oil exporting countries e.g. Saudi Arab and UAE but positive for Oman and India, one oil importing and one oil exporting country. The negative correlation among the variation in the oil price and equity returns of Pakistan, Bangladesh, Saudi Arab and UAE indicate the presence of portfolio divergence opportunities for foreign stockholders and portfolio executives. India, the only country for which the equity returns and their volatility are not under the influence of the change in the oil rate. Finally it is concluded that prices of oil are the cause of mean and volatility spillover in the Arab countries more significant than in subcontinent countries. The practical implication, limitations as well as directions for future research are discoursed later in this research article.

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Section: Theory Of Market Integrationmentioning

confidence: 99%

Section: Prior Literaturementioning

confidence: 99%

The Impact of Change in Oil Prices on the Equity Markets of Oil Exporting and Importing Countries

Zahid¹

2018

bit

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“…In a similar study, Abou-Zaid (2011) investigates the international transmission of daily stock index volatility movements from the US and UK to selected MENA emerging markets in multivariate GARCH in mean framework. Similarly, Bhar and Nikolova (2007) make use of GARCH in mean to question whether the world index returns have significant influence upon the variance of returns seen across Brazil, Russia and India. Such GARCH techniques are extensively used in the literature to figure out spillover effects of various factors.…”

Section: Figure 6: the Behavior Of The Exchange Rates In Response To mentioning

confidence: 99%

The Spillover Effects of Fedâ€™s Policies with Emphasis to the Fragile Five

Orhan¹,

Çelikel²

2014

JEBS

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Since the Bretton Woods Agreement, the U.S. dollar has played the role of dominant global currency. As a result, the Federal Reserve Bank has many privileges such as the ability to run trade deficits without foreign exchange reserves. In the world, foreign exchange rates of currencies are quoted against the dollar, and majority of currency trading involves the dollar. Besides, international trade in primary commodities, such as oil, wheat, gold and coffee are bought and sold in U.S. dollar. The central banks of countries hold major positions of their international reserves in dollars. Any changes in its interest rates automatically alter the revenues of all world assets. With deregulated financial markets, the spillover effects of the Federal Reserve Bank's decisions have increased. In this paper, we examine the impacts of Federal Reserve Bank policies over the Fragile Five that is a sub group of the weaker emerging markets namely Brazil, India, Indonesia, South Africa and Turkey. We are mainly focusing on the consequences of changes in Fed's policies on the fragile five's basic indicators; exchange rate, interest rate, and the stock exchange indices. All Fragile Five currencies have been depreciated by about 10 to 25% after the Fed tapering decisions. In addition we test for mean and volatility spillover of Wall Street on stock exchange indices of the Fragile Five in GARCH in mean framework and document the existence of such spillovers in almost all cases.

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“…and (b) Does the spillover have a significant effect on the returns and risks of cross-listed IPOs on AIM? This paper addresses the two questions by examining spillover effect(s) of the mean returns and the volatility of returns transmitted from the firms cross-listed on alternative markets using two stage GARCH -in mean (GARCH-M) applied by Bhar and Nikolova (2007); Y. A.…”

Section: Introductionmentioning

confidence: 99%

Analyzing the Spillover Effects from Parental Markets to Cross-listed IPOs on Mean returns and Price Volatility

Wahid¹,

Mumtaz²,

Mantell³

2019

SAJMS

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The phenomenon of synchronization of financial market dynamics and the transmission of price variability among markets has been analyzed using the mean returns and the volatility spillover between markets. However, an unanswered question is how those market dynamics are transmitted from parental markets to cross-listed IPOs. This paper addresses that question. In this study, we selected 74 cross-listed firms registered on Alternative Investment Markets (AIM).

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Analysis of Mean and Volatility Spillovers Using BRIC Countries, Regional and World Equity Index Returns

Cited by 39 publications

References 10 publications

The Impact of Change in Oil Prices on the Equity Markets of Oil Exporting and Importing Countries

The Impact of Change in Oil Prices on the Equity Markets of Oil Exporting and Importing Countries

The Spillover Effects of Fedâ€™s Policies with Emphasis to the Fragile Five

Analyzing the Spillover Effects from Parental Markets to Cross-listed IPOs on Mean returns and Price Volatility

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