金砖国家之间的信息联系:隐含波动率指数的经验证据

IF 1.2 Q3 BUSINESS, FINANCE Journal of Emerging Market Finance Pub Date : 2019-08-21 DOI:10.1177/0972652719846315

G. Sharma, P. Kayal, P. Pandey

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引用次数: 10

摘要

在这篇文章中，我们考察了金砖国家（巴西、俄罗斯、印度、中国和南非）潜在股票市场指数的波动性前瞻性衡量指标波动率指数（VIX）的信息联系。对信息传递过程的研究证实了金砖国家之间的长期均衡关系。多元广义自回归条件异方差（MGARCH）模型揭示了样本VIX之间的强跨期联系。收益率和波动率溢出矩阵显示了研究期间金砖国家波动率指数的不同程度的连通性。这项研究为国际金融文献做出了贡献，对投资者、投资组合经理、政策制定者和学术界都有重要意义。JEL分类：C58、F36、G11、G14、G15

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices

In this article, we examine the information linkages of the forward-looking measure of volatility, the volatility index (VIX), for underlying equity market indices of BRICS countries—Brazil, Russia, India, China and South Africa. A study of the information transmission process confirmed a long-run equilibrium relationship between pairs of BRICS countries. The multivariate generalised autoregressive conditional heteroscedasticity (MGARCH) model revealed strong intertemporal linkages between sample VIX. Return and volatility spill-over matrix show the varying degree of connectedness of BRICS VIX across the study period. This study contributes to the international finance literature and has important implications for investors, portfolio managers, policymakers and academia. JEL Classification: C58, F36, G11, G14, G15

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.