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Conditional co-movement and dynamic interactions: US and bric equity markets

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journal contribution
posted on 2017-01-01, 00:00 authored by Amanjot Singh, M Singh
The present study attempts to capture conditional or time-varying co-movement
and dynamic interactions between the US and BRIC (Brazil, Russia, India, and
China) equity markets across the sample period 2004 to 2014 by employing
diverse econometric models. The sample period is further divided into three
different sub-periods concerning the US financial crisis period, viz.
pre-crisis, crisis, and post-crisis periods. The vector autoregression-
dynamic conditional correlation-multivariate asymmetric generalized
autoregressive conditional heteroskedastic [VAR-DCC-MVAGARCH (1.1)] model and
Toda-Yamamoto?s (1995) Granger causality tests are employed for the purpose
of overall analysis in a multivariate framework. The results report the
existence of time-varying co-movement between the US and BRIC equity markets,
whereby co-movement between the US and Brazilian markets is found to be the
highest, followed by the Russian, Indian, and Chinese equity markets. Dynamic
interactions are also registered between the respective US/BRIC comovements
during different sub-periods. The results have important implications for
market participants and policymakers.

History

Journal

Economic Annals

Volume

62

Issue

212

Pagination

85 - 111

Publisher

National Library of Serbia

Location

Beograd, Serbia

ISSN

0013-3264

eISSN

1820-7375

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal; C Journal article

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