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Spillovers and financial integration in emerging markets: Analysis of BRICS economies within a VAR‐BEKK framework
Author(s) -
Patra Saswat,
Panda Pradiptarathi
Publication year - 2021
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.1801
Subject(s) - economics , emerging markets , volatility (finance) , spillover effect , stock (firearms) , portfolio , monetary economics , portfolio investment , financial market , financial economics , macroeconomics , finance , mechanical engineering , engineering
This study estimates the return and volatility spillovers among the BRICS countries (internal) and between BRICS, gold, oil and US stock markets (external). We find that internal return and volatility spillovers are higher than their external spillover counterparts. Thus, investors would be better off diversifying their investments in gold, oil and US stock markets along with the emerging economies. Interestingly, we also find that the return spillovers are higher than their volatility spillover counterparts, thus presenting investors with an opportunity to diversify their portfolio risk. With respect to portfolio constitution, South Africa emerges as the top choice for investment within the BRICS, whereas gold is the preferred choice for investors outside the BRICS economies.