Please use this identifier to cite or link to this item: https://gnanaganga.inflibnet.ac.in:8443/jspui/handle/123456789/8458
Full metadata record
DC FieldValueLanguage
dc.contributor.authorAmanjot Singh-
dc.contributor.authorParneet Kaur-
dc.date.accessioned2024-02-27T06:36:59Z-
dc.date.available2024-02-27T06:36:59Z-
dc.date.issued2015-
dc.identifier.urihttp://gnanaganga.inflibnet.ac.in:8080/jspui/handle/123456789/8458-
dc.description.abstractThe term 'BRIC' is a collection of Brazil, Russia, India, and China- the most promising emerging markets. The global investors at the time of making investments and building portfolios across different countries should consider the interlinkages that exist between the countries or the assets concerned. The interlinkages make the stock markets in different countries to co-move in the short as well as the long run, thereby leading to spillover of the returns and volatility. The present study attempted to model the dynamic volatility spillover from the U.S. market to the BRIC (Brazil, Russia, India, and China) countries' stock markets during the subprime crisis by employing the ARMA E-GARCH (1,1) model. The results from the E-GARCH (1,1) model supported the spillover of the U.S. volatility to the Brazilian market only. The study revealed that the volatility in the U.S. market did not have a direct impact on the Russian, Indian, and Chinese stock markets.-
dc.publisherIndian Journal of Finance-
dc.titleModelling Dynamic Volatility Spillovers from the U.S. to the BRIC Countries Stock Markets During the Subprime Crisis-
dc.volVol 9-
dc.issuedNo 8-
Appears in Collections:Articles to be qced

Files in This Item:
File SizeFormat 
Modelling Dynamic Volatility Spillovers from the U.S..pdf
  Restricted Access
3.58 MBAdobe PDFView/Open Request a copy


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.