Who is the net Sender of Mean and Volatility Spillover in Emerging Equity Markets

Authors

  • Muhammad Hassan hassan Student
  • Arshad Hassan CUST UNIVERSITY ISLAMABAD

Keywords:

Volatility Spillover, Co-integration test, Victor Error Correction, Granger Causality

Abstract

The prime objective of the study is to provide evidence of transmission of volatility among BRICS countries Brazil, Russia India, China, South Africa and Pakistan during the period from July 1st, 2000 to June 30, 2017. The reason for selecting of these equity stock markets is due to its rapidly emerging growth. For this purpose, daily stock returns of respective countries are examined by applying VAR model ARCH family model to explore the means and volatility spillover effect. Results show that most of the volatility gets transmitted from Brazil, India, Russia, and Pakistan to U.S. Results also shows that there is no autocorrelation and heteroscedasticity exist  except  South Africa it means ARCH (1) model can’t apply on South African market .Johansen and Juselius co-integration test is applied to explore the long and short run relationship. The short term dynamics between stock market is tested using Vector Error Correction (VEC). The Granger Causality test is used for lead lag relationship between stock markets.

Published

2022-09-30