publications
Article
Global financial crisis and spillover effects among the U.S. and BRICS stock markets  |
Mensi Walid, 2015 |
International Review of Economics & Finance, xxx, xxx, 20, Novembre 2015 |
Résumé
article examines the spillover effect between the U.S. market and five of the most
important emerging stock markets namely the BRICS (Brazil, Russia, India, China and South
Africa), and draws implications for portfolio risk modeling and forecasting. It gives consideration
to periods before and after the recent global financial crisis (GFC). To this end, the bivariate DCCFIAPARCH
model, the modified ICSS algorithm and the Value-at-Risk (VaR) are employed to
capture volatility spillovers, detect potential structural breaks and assess the portfolio market risks.
Using the U.S. and the BRICS daily spot market indices for the period from September 1997 to
October 2013, our empirical results show strong evidence of asymmetry and long memory in the
conditional volatility and significant dynamic correlations between the U.S. and the BRICS stock
markets. Moreover, we find several sudden changes in these markets with a common break date
centered on September 15, 2008 which corresponds to the Lehman Brothers collapse. The Brazil,
India, China and South Africa markets are strongly affected by the GFC, supporting the hypothesis
of recoupling (with increased linkages). In contrast, the hypothesis of decoupling is supported for
the Russian stock markets only. Finally, the skewed Student-t FIAPARCH models outperform and
provide more accurate in-sample estimates and out-of-sample forecasts of VaR than the normal
and Student-t FIAPARCH models in almost all cases. These results provide helpful information to
financial risk managers, regulators and portfolio investors to determine the diversification benefits
among these markets.
article examines the spillover effect between the U.S. market and five of the mostimportant emerging stock markets namely the BRIC
