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

Bouri, Elie, Gupta, Rangan, Hosseini, Seyedmehdi and Lau, Marco Chi Keung (2017) Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model. Emerging Markets Review. ISSN 1566-0141

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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.

Item Type: Article
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Schools: Huddersfield Business School
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Depositing User: Sharon Beastall
Date Deposited: 18 Dec 2017 09:24
Last Modified: 13 Nov 2018 01:38
URI: http://eprints.hud.ac.uk/id/eprint/34091

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