TY - JOUR
T1 - Assessing the readiness of the BRICS grouping for mutually beneficial financial integration
AU - Bonga-Bonga, Lumengo
N1 - Publisher Copyright:
© 2017 John Wiley & Sons Ltd.
PY - 2017/11
Y1 - 2017/11
N2 - This paper assesses the extent of transmission of volatility shocks in the equity and foreign exchange markets among BRICS (Brazil, Russia, India, China and South Africa) countries to infer the degree of risk sharing and the possibility of a beneficial financial integration among its member countries. To this end, the paper makes use of the spillover index methodology suggested by Diebold and Yilmaz (). Nonetheless, the paper extends this methodology by incorporating ex ante volatility measures that account for long memory in equity and foreign exchange markets. The paper finds asymmetric influences among BRICS countries in relation to the cross transmission of risks. The finding of the paper implies the possibility of unequal benefit that could result from a possible capital market liberalization between the BRICS countries.
AB - This paper assesses the extent of transmission of volatility shocks in the equity and foreign exchange markets among BRICS (Brazil, Russia, India, China and South Africa) countries to infer the degree of risk sharing and the possibility of a beneficial financial integration among its member countries. To this end, the paper makes use of the spillover index methodology suggested by Diebold and Yilmaz (). Nonetheless, the paper extends this methodology by incorporating ex ante volatility measures that account for long memory in equity and foreign exchange markets. The paper finds asymmetric influences among BRICS countries in relation to the cross transmission of risks. The finding of the paper implies the possibility of unequal benefit that could result from a possible capital market liberalization between the BRICS countries.
UR - http://www.scopus.com/inward/record.url?scp=85033452073&partnerID=8YFLogxK
U2 - 10.1111/rode.12324
DO - 10.1111/rode.12324
M3 - Article
AN - SCOPUS:85033452073
SN - 1363-6669
VL - 21
SP - e204-e219
JO - Review of Development Economics
JF - Review of Development Economics
IS - 4
ER -