Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model

Elie Bouri; Rangan Gupta; Seyedmehdi Hosseini; Chi Keung Marco Lau

doi:10.1016/j.ememar.2017.11.004

Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model

Elie Bouri, Rangan Gupta, Seyedmehdi Hosseini, Chi Keung Marco Lau

Research output: Contribution to journal › Article › peer-review

80 Citations (Scopus)

315 Downloads (Pure)

Abstract

We examine the predictive power of implied volatility in the commodity and major developed stock markets for the implied volatility in individual BRICS stock markets. We use daily data from March 2011 to October 2016 and employ the newly developed Bayesian Graphical Structural Vector Autoregressive (BGSVAR) model of Ahelegbey et al. (2016). Evidence suggests that the predictability of individual implied volatilities in BRICS is generally a function of both global and within the group stock market implied volatilities, and that the role of commodity market volatility is marginal, except for South Africa. Important implications for policy-makers and portfolio-managers are discussed.

Original language	English
Pages (from-to)	124-142
Number of pages	19
Journal	Emerging Markets Review
Volume	34
Early online date	13 Nov 2017
DOIs	https://doi.org/10.1016/j.ememar.2017.11.004
Publication status	Published - Mar 2018
Externally published	Yes

Keywords

Bayesian Graphical Structural VAR
Volatility predictability
Implied volatility index
VIX
Strategic commodities
BRICS

Access to Document

10.1016/j.ememar.2017.11.004

Bouri_et_al_Global_Fear_Emerging_Markets_ReviewAccepted author manuscript, 2.87 MBLicence: CC BY-NC-ND

http://eprints.hud.ac.uk/id/eprint/34091/

Cite this

@article{23745c40050442b0bc5b1d8fd29f8c46,

title = "Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model",

abstract = "We examine the predictive power of implied volatility in the commodity and major developed stock markets for the implied volatility in individual BRICS stock markets. We use daily data from March 2011 to October 2016 and employ the newly developed Bayesian Graphical Structural Vector Autoregressive (BGSVAR) model of Ahelegbey et al. (2016). Evidence suggests that the predictability of individual implied volatilities in BRICS is generally a function of both global and within the group stock market implied volatilities, and that the role of commodity market volatility is marginal, except for South Africa. Important implications for policy-makers and portfolio-managers are discussed.",

keywords = "Bayesian Graphical Structural VAR, Volatility predictability, Implied volatility index, VIX, Strategic commodities, BRICS",

author = "Elie Bouri and Rangan Gupta and Seyedmehdi Hosseini and {Marco Lau}, {Chi Keung}",

year = "2018",

month = mar,

doi = "10.1016/j.ememar.2017.11.004",

language = "English",

volume = "34",

pages = "124--142",

journal = "Emerging Markets Review",

issn = "1566-0141",

publisher = "Elsevier",

}

TY - JOUR

T1 - Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model

AU - Bouri, Elie

AU - Gupta, Rangan

AU - Hosseini, Seyedmehdi

AU - Marco Lau, Chi Keung

PY - 2018/3

Y1 - 2018/3

N2 - We examine the predictive power of implied volatility in the commodity and major developed stock markets for the implied volatility in individual BRICS stock markets. We use daily data from March 2011 to October 2016 and employ the newly developed Bayesian Graphical Structural Vector Autoregressive (BGSVAR) model of Ahelegbey et al. (2016). Evidence suggests that the predictability of individual implied volatilities in BRICS is generally a function of both global and within the group stock market implied volatilities, and that the role of commodity market volatility is marginal, except for South Africa. Important implications for policy-makers and portfolio-managers are discussed.

AB - We examine the predictive power of implied volatility in the commodity and major developed stock markets for the implied volatility in individual BRICS stock markets. We use daily data from March 2011 to October 2016 and employ the newly developed Bayesian Graphical Structural Vector Autoregressive (BGSVAR) model of Ahelegbey et al. (2016). Evidence suggests that the predictability of individual implied volatilities in BRICS is generally a function of both global and within the group stock market implied volatilities, and that the role of commodity market volatility is marginal, except for South Africa. Important implications for policy-makers and portfolio-managers are discussed.

KW - Bayesian Graphical Structural VAR

KW - Volatility predictability

KW - Implied volatility index

KW - VIX

KW - Strategic commodities

KW - BRICS

U2 - 10.1016/j.ememar.2017.11.004

DO - 10.1016/j.ememar.2017.11.004

M3 - Article

SN - 1566-0141

VL - 34

SP - 124

EP - 142

JO - Emerging Markets Review

JF - Emerging Markets Review

ER -

Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model

Abstract

Keywords

Access to Document

Fingerprint

Cite this