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

Bonga-Bonga, Lumengo (2015): Uncovering equity market contagion among BRICS countries: an application of the multivariate GARCH model.

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 for 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 than these countries are 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.

• Item Type: MPRA Paper
• Language: English
• Keywords: contagion, BRICS, VAR-DCC-GARCH
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; F - International Economics > F3 - International Finance > F36 - Financial Aspects of Economic Integration; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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