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

Singh, Amanjot and Singh, M 2017, Conditional co-movement and dynamic interactions: US and bric equity markets, Economic Annals, vol. 62, no. 212, pp. 85-111, doi: 10.2298/EKA1712085S.

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Title Conditional co-movement and dynamic interactions: US and bric equity markets
Author(s) Singh, AmanjotORCID iD for Singh, Amanjot orcid.org/0000-0003-3575-4382
Singh, M
Journal name Economic Annals
Volume number 62
Issue number 212
Start page 85
End page 111
Total pages 28
Publisher National Library of Serbia
Place of publication Beograd, Serbia
Publication date 2017
ISSN 0013-3264
1820-7375
Keyword(s) BRIC
co-movement
dynamic interactions
equity markets
timevarying
US
Summary 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.
Language eng
DOI 10.2298/EKA1712085S
Indigenous content off
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Free to Read? Yes
Persistent URL http://hdl.handle.net/10536/DRO/DU:30150398

Document type: Journal Article
Collections: Faculty of Business and Law
Open Access Collection
Department of Finance
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Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.