MEAN AND VOLATILITY SPILLOVER ANALYSIS AS A PROXY FOR BRIC INTEGRATION

Samuel, Andrews (2014) MEAN AND VOLATILITY SPILLOVER ANALYSIS AS A PROXY FOR BRIC INTEGRATION. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

This dissertation examines the mean and volatility spillover effects of BRIC equity indexes and

regional and global equity indexes as a proxy for integration. Spillover effects are measured using

a two-step GARCH process as set out by Bhar & Nikolova (2007) using the standardised

residuals of the regional and global equity indexes in the mean and variance equations of BRIC

equity returns. GARCH (1, 1), GARCHM (1, 1) and EGARCH (1, 1) models are all used to

examine spillover effects. The time period between September 1995 and June 2014 is examined,

with two periods considered a pre-crisis period, 01/09/1995 - 21/02/2007, and a post-crisis

period, 22/02/2007 – 30/06/2014. By examining these two period this dissertation examines

changes in integration through spillover effects between BRIC countries, their respective regions

and the world.

The results find that mean spillovers have increased between BRIC countries and the world

while they have decreased with regions. This indicates that the BRIC equity price creation

process has shifted away from regional influences towards global influences. While the changes

between the pre-crisis and post-crisis period of volatility spillovers provided mixed results

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 11 Nov 2014 16:30
Last Modified: 22 Oct 2016 21:38
URI: http://eprints.nottingham.ac.uk/id/eprint/27247

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