TY - JOUR
T1 - Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model
AU - Bouri, Elie
AU - Gupta, Rangan
AU - Hosseini, Seyedmehdi
AU - Lau, Chi Keung Marco
N1 - Publisher Copyright:
© 2017 Elsevier B.V.
Copyright:
Copyright 2018 Elsevier B.V., All rights reserved.
PY - 2018/3/12
Y1 - 2018/3/12
N2 - We examine the predictive power of implied volatility in the commodity and major developed stock markets for the implied volatility in individual BRICS stock markets. We use daily data from March 2011 to October 2016 and employ the newly developed Bayesian Graphical Structural Vector Autoregressive (BGSVAR) model of Ahelegbey et al. (2016). Evidence suggests that the predictability of individual implied volatilities in BRICS is generally a function of both global and within the group stock market implied volatilities, and that the role of commodity market volatility is marginal, except for South Africa. Important implications for policy-makers and portfolio-managers are discussed.
AB - We examine the predictive power of implied volatility in the commodity and major developed stock markets for the implied volatility in individual BRICS stock markets. We use daily data from March 2011 to October 2016 and employ the newly developed Bayesian Graphical Structural Vector Autoregressive (BGSVAR) model of Ahelegbey et al. (2016). Evidence suggests that the predictability of individual implied volatilities in BRICS is generally a function of both global and within the group stock market implied volatilities, and that the role of commodity market volatility is marginal, except for South Africa. Important implications for policy-makers and portfolio-managers are discussed.
UR - http://www.scopus.com/inward/record.url?scp=85034854601&partnerID=8YFLogxK
U2 - 10.1016/j.ememar.2017.11.004
DO - 10.1016/j.ememar.2017.11.004
M3 - Article
AN - SCOPUS:85034854601
SN - 1566-0141
VL - 34
SP - 124
EP - 142
JO - Emerging Markets Review
JF - Emerging Markets Review
ER -