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Article

Transmission of U.S. Stock Market Implied
Volatility to Equity Markets of Emerging Countries

Akash Dania and D.K. Malhotra
The Journal of Wealth Management Fall 2014, 17 (2) 45-54; DOI: https://doi.org/10.3905/jwm.2014.17.2.045
Akash Dania
is an assistant professor of finance at Alcorn State University’s School of Business in Lorman, MS.
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  • For correspondence: adania@alcorn.edu
D.K. Malhotra
is a professor of finance at Philadelphia University’s School of Business Administration in Philadelphia, PA.
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  • For correspondence: malhotrad@philau.edu
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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.

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The Journal of Wealth Management: 17 (2)
The Journal of Wealth Management
Vol. 17, Issue 2
Fall 2014
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Transmission of U.S. Stock Market Implied
Volatility to Equity Markets of Emerging Countries
Akash Dania, D.K. Malhotra
The Journal of Wealth Management Jul 2014, 17 (2) 45-54; DOI: 10.3905/jwm.2014.17.2.045

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Transmission of U.S. Stock Market Implied
Volatility to Equity Markets of Emerging Countries
Akash Dania, D.K. Malhotra
The Journal of Wealth Management Jul 2014, 17 (2) 45-54; DOI: 10.3905/jwm.2014.17.2.045
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