Uncovering equity market contagion among BRICS countries: An application of the multivariate GARCH model

Research output: Contribution to journalArticlepeer-review

38 Citations (Scopus)

Abstract

This paper assesses the extent of the transmission of financial shocks between South Africa and other members of the BRICS grouping in order to infer the degree of contagion during the period 1996–2012. The paper makes use of a multivariate VAR-DCC-GARCH model to this end. The paper finds evidence of cross-transmission and dependence between South Africa and Brazil. However, the empirical results show that South Africa is more affected by crises originating from China, India and Russia while these countries are least affected by crises originating from South Africa. The findings of this paper should be of interest to policy makers in the BRICS grouping should they be considering the possibility of full capital market liberalization and to the international investor who is looking at diversifying portfolios in the BRICS grouping.

Original languageEnglish
Pages (from-to)36-44
Number of pages9
JournalQuarterly Review of Economics and Finance
Volume67
DOIs
Publication statusPublished - Feb 2018

Keywords

  • BRICS
  • Contagion
  • VAR-DCC-GARCH

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Fingerprint

Dive into the research topics of 'Uncovering equity market contagion among BRICS countries: An application of the multivariate GARCH model'. Together they form a unique fingerprint.

Cite this