Publicação
Volatility spillovers among BRICS and developed stock markets: impact of recent global shocks
| Resumo: | This study analyses volatility spillovers amongst four developed financial markets and four BRICS markets, using the Diebold and Yilmaz (2012) methodology, based on generalized variance decompositions within a VAR framework. The study covers a period from March 2013 to December 2023, focusing on contemporaneous global events, from financial markets turbulences to geopolitical conflicts. The results show evidence that a substantial share of total forecast error variance in volatility is attributable to spillovers. It was found that spillovers primarily occur within developed markets, particularly amongst the USA, UK, and Germany. Spillovers from developed markets to BRICS are also significant, while spillovers from BRICS markets display more isolated levels. Major financial upheavals have profoundly influenced spillover dynamics, increasing volatility transmission to extreme levels. BRICS markets displayed more erratic responses to global shocks, particularly during the COVID-19 pandemic and the onset of the Russia-Ukraine war, reflecting heightened vulnerability. The study also finds that developed markets predominantly acted as net transmitters throughout the period, while BRICS markets acted as net receivers. However, during periods of turmoil, this dynamic shifted, with BRICS markets performing as net transmitters of volatility |
|---|---|
| Autores principais: | Alexandre, Ana Sofia Pires |
| Assunto: | Stock Markets Volatility Spillovers Diebold-Yilmaz Forecast Error Variance Decomposition BRICS Developed markets Mercados de Ações Transmissão de Volatilidade DieboldYilmaz Decomposição da Variância do Erro de Previsão BRICS Mercados Desenvolvidos |
| Ano: | 2024 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| _version_ | 1868468122936147968 |
|---|---|
| author | Alexandre, Ana Sofia Pires |
| author_facet | Alexandre, Ana Sofia Pires |
| author_role | author |
| contributor_name_str_mv | Sobreira, Nuno Ricardo Martins Repositório Científico de Acesso Aberto da ULisboa |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Alexandre, Ana Sofia Pires\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Sobreira, Nuno Ricardo Martins Repositório Científico de Acesso Aberto da ULisboa |
| datacite.creators.creator.creatorName.fl_str_mv | Alexandre, Ana Sofia Pires |
| datacite.date.Accepted.fl_str_mv | 2024-10-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2025-02-27T17:51:03Z |
| datacite.date.embargoed.fl_str_mv | 2025-02-27T17:51:03Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Stock Markets Volatility Spillovers Diebold-Yilmaz Forecast Error Variance Decomposition BRICS Developed markets Mercados de Ações Transmissão de Volatilidade DieboldYilmaz Decomposição da Variância do Erro de Previsão BRICS Mercados Desenvolvidos |
| datacite.titles.title.fl_str_mv | Volatility spillovers among BRICS and developed stock markets: impact of recent global shocks |
| dc.contributor.none.fl_str_mv | Sobreira, Nuno Ricardo Martins Repositório Científico de Acesso Aberto da ULisboa |
| dc.creator.none.fl_str_mv | Alexandre, Ana Sofia Pires |
| dc.date.Accepted.fl_str_mv | 2024-10-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2025-02-27T17:51:03Z |
| dc.date.embargoed.fl_str_mv | 2025-02-27T17:51:03Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10400.5/98883 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Instituto Superior de Economia e Gestão |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Stock Markets Volatility Spillovers Diebold-Yilmaz Forecast Error Variance Decomposition BRICS Developed markets Mercados de Ações Transmissão de Volatilidade DieboldYilmaz Decomposição da Variância do Erro de Previsão BRICS Mercados Desenvolvidos |
| dc.title.fl_str_mv | Volatility spillovers among BRICS and developed stock markets: impact of recent global shocks |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_bdcc |
| description | This study analyses volatility spillovers amongst four developed financial markets and four BRICS markets, using the Diebold and Yilmaz (2012) methodology, based on generalized variance decompositions within a VAR framework. The study covers a period from March 2013 to December 2023, focusing on contemporaneous global events, from financial markets turbulences to geopolitical conflicts. The results show evidence that a substantial share of total forecast error variance in volatility is attributable to spillovers. It was found that spillovers primarily occur within developed markets, particularly amongst the USA, UK, and Germany. Spillovers from developed markets to BRICS are also significant, while spillovers from BRICS markets display more isolated levels. Major financial upheavals have profoundly influenced spillover dynamics, increasing volatility transmission to extreme levels. BRICS markets displayed more erratic responses to global shocks, particularly during the COVID-19 pandemic and the onset of the Russia-Ukraine war, reflecting heightened vulnerability. The study also finds that developed markets predominantly acted as net transmitters throughout the period, while BRICS markets acted as net receivers. However, during periods of turmoil, this dynamic shifted, with BRICS markets performing as net transmitters of volatility |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| fulltext.url.fl_str_mv | https://repositorio.ulisboa.pt/bitstreams/b28f14c1-3b28-4f06-8fe5-9bf524f1a884/download |
| id | ul_e09fcd5ceb8236adf7d645ae6f315213 |
| identifier.url.fl_str_mv | http://hdl.handle.net/10400.5/98883 |
| instacron_str | ul |
| institution | Universidade de Lisboa |
| instname_str | Universidade de Lisboa |
| language | eng |
| network_acronym_str | ul |
| network_name_str | Repositório da Universidade de Lisboa |
| oai_identifier_str | oai:repositorio.ulisboa.pt:10400.5/98883 |
| organization_str_mv | urn:organizationAcronym:ul |
| person_str_mv | Alexandre, Ana Sofia Pires |
| publishDate | 2024 |
| publisher.none.fl_str_mv | Instituto Superior de Economia e Gestão |
| reponame_str | Repositório da Universidade de Lisboa |
| repository_id_str | urn:repositoryAcronym:ul |
| service_str_mv | urn:repositoryAcronym:ul |
| spelling | engInstituto Superior de Economia e Gestãopt_PTThis study analyses volatility spillovers amongst four developed financial markets and four BRICS markets, using the Diebold and Yilmaz (2012) methodology, based on generalized variance decompositions within a VAR framework. The study covers a period from March 2013 to December 2023, focusing on contemporaneous global events, from financial markets turbulences to geopolitical conflicts. The results show evidence that a substantial share of total forecast error variance in volatility is attributable to spillovers. It was found that spillovers primarily occur within developed markets, particularly amongst the USA, UK, and Germany. Spillovers from developed markets to BRICS are also significant, while spillovers from BRICS markets display more isolated levels. Major financial upheavals have profoundly influenced spillover dynamics, increasing volatility transmission to extreme levels. BRICS markets displayed more erratic responses to global shocks, particularly during the COVID-19 pandemic and the onset of the Russia-Ukraine war, reflecting heightened vulnerability. The study also finds that developed markets predominantly acted as net transmitters throughout the period, while BRICS markets acted as net receivers. However, during periods of turmoil, this dynamic shifted, with BRICS markets performing as net transmitters of volatilityapplication/pdfpt_PTVolatility spillovers among BRICS and developed stock markets: impact of recent global shocksAlexandre, Ana Sofia PiresSobreira, Nuno Ricardo MartinsHostingInstitutionOrganizationalRepositório Científico de Acesso Aberto da ULisboae-mailmailto:repositorio@reitoria.ulisboa.ptrepositorio@reitoria.ulisboa.pt2025-02-27T17:51:03Z2024-102024-10-01T00:00:00ZHandlehttp://hdl.handle.net/10400.5/98883http://purl.org/coar/access_right/c_abf2open accessStock MarketsVolatility SpilloversDiebold-YilmazForecast Error Variance DecompositionBRICSDeveloped marketsMercados de AçõesTransmissão de VolatilidadeDieboldYilmazDecomposição da Variância do Erro de PrevisãoBRICSMercados Desenvolvidos2914194 bytesliteraturehttp://purl.org/coar/resource_type/c_bdccmaster thesishttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://repositorio.ulisboa.pt/bitstreams/b28f14c1-3b28-4f06-8fe5-9bf524f1a884/download |
| spellingShingle | Volatility spillovers among BRICS and developed stock markets: impact of recent global shocks Alexandre, Ana Sofia Pires Stock Markets Volatility Spillovers Diebold-Yilmaz Forecast Error Variance Decomposition BRICS Developed markets Mercados de Ações Transmissão de Volatilidade DieboldYilmaz Decomposição da Variância do Erro de Previsão BRICS Mercados Desenvolvidos |
| status | SINGLETON |
| subject.fl_str_mv | Stock Markets Volatility Spillovers Diebold-Yilmaz Forecast Error Variance Decomposition BRICS Developed markets Mercados de Ações Transmissão de Volatilidade DieboldYilmaz Decomposição da Variância do Erro de Previsão BRICS Mercados Desenvolvidos |
| title | Volatility spillovers among BRICS and developed stock markets: impact of recent global shocks |
| title_full | Volatility spillovers among BRICS and developed stock markets: impact of recent global shocks |
| title_fullStr | Volatility spillovers among BRICS and developed stock markets: impact of recent global shocks |
| title_full_unstemmed | Volatility spillovers among BRICS and developed stock markets: impact of recent global shocks |
| title_short | Volatility spillovers among BRICS and developed stock markets: impact of recent global shocks |
| title_sort | Volatility spillovers among BRICS and developed stock markets: impact of recent global shocks |
| topic | Stock Markets Volatility Spillovers Diebold-Yilmaz Forecast Error Variance Decomposition BRICS Developed markets Mercados de Ações Transmissão de Volatilidade DieboldYilmaz Decomposição da Variância do Erro de Previsão BRICS Mercados Desenvolvidos |
| topic_facet | Stock Markets Volatility Spillovers Diebold-Yilmaz Forecast Error Variance Decomposition BRICS Developed markets Mercados de Ações Transmissão de Volatilidade DieboldYilmaz Decomposição da Variância do Erro de Previsão BRICS Mercados Desenvolvidos |
| url | http://hdl.handle.net/10400.5/98883 |
| visible | 1 |