Abstract
The BRIC universe, which includes Brazil, Russia, India, and China, represents one of the most promising emerging market equity composites. This study examines the existence of a leverage effect and time-varying risk parameters in relation to the BRIC countries’ stock market returns by employing GARCH, TGARCH-M, and EGARCH-M models. The period of study runs from July 2009 to June 2014 and assesses the existence of a leverage impact of a negative shock on the conditional variance, as compared to a positive shock in each of the BRIC countries. A global investor should discount and understand the volatility behavior as well as the business environment of the investee country as it changes over time.
- © 2015 Pageant Media Ltd
Don’t have access? Register today to begin unrestricted access to our database of research.