Beneath the Surface: Disentangling the Dynamic Network of the U.S. and BRIC Stock Markets’ Interrelations Amidst Turmoil
Year: 2024
Type: article
Abstract: The study examines the time-varying correlation and return spillover mechanism among developed (U.S.) and emerging (BRIC) stock markets during major crises from 2000 to 2023, namely the global financial crisis, COVID-19, and the Russia–Ukraine war. To do so, we used dynamic conditional correlation (DCC-GARCH) and time-varying parameter vector autoregression (TVP-VAR) models. This study finds that the nature of market crises plays a significant role in the interrelationship and return spillover mechanisms among the U.S. and BRIC stock markets. The interconnectedness of the stock markets was strengthened by crises such as the GFC and the COVID-19 pandemic. On the other hand, the Russia–Ukraine war temporarily disrupted the interrelationships between the markets. The study yields valuable insight to local and international investors in portfolio diversification and risk management strategies during market turbulence.
Source: Risks
Institutions: University of Calicut, Al Ain University, Gulf University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $2,046
OpenAlex ID: W4405365811