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 journalArticle

19 Citations (Scopus)
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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 languageEnglish
Pages (from-to)124-142
Number of pages19
JournalEmerging Markets Review
Volume34
Early online date13 Nov 2017
DOIs
Publication statusPublished - Mar 2018
Externally publishedYes

Fingerprint

Implied volatility
Structural VAR models
Stock market
Predictive power
Market volatility
Politicians
Commodities
Commodity markets
Vector autoregressive model
Managers
South Africa
Predictability

Keywords

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

Cite this

Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model. / Bouri, Elie; Gupta, Rangan; Hosseini, Seyedmehdi; Marco Lau, Chi Keung.

In: Emerging Markets Review, Vol. 34, 03.2018, p. 124-142.

Research output: Contribution to journalArticle

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