Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Abstract
This article examines the predictive power of the implied volatility originating in the U.S. stock market (USVIX) on returns of Brazil, Russia, India, and China (BRIC nations). By means of VAR and GARCH methodology, we model the relationship of USVIX, a probabilistic interpretation concerning the near-term implied volatility of Standard & Poor’s 500 Index and the market returns of Brazil, Russia, India, and China. Results from this study show that returns of all BRIC nations in our sample are negatively and significantly impacted by USVIX, albeit with varying degree and magnitude. We also find evidence of volatility spillover from the USVIX to the market returns of BRIC nations.
TOPICS: Security analysis and valuation, emerging, statistical methods, performance measurement
- © 2014 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600