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Volatility spillovers among BRICS and developed stock markets: impact of recent global shocks

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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

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