文章基本信息

标题：US financial conditions index and its empirical impact on information transmissions across US-BRIC equity markets
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作者：Amanjot Singh ; Amanjot Singh ; Manjit Singh 等
期刊名称：The Journal of Finance and Data Science
印刷版ISSN：2405-9188
出版年度：2016
卷号：2
期号：2
页码：89-111
DOI：10.1016/j.jfds.2016.09.001
语种：English
出版社：Elsevier
摘要：Abstract Both price discovery and volatility spillovers act as information transmission mechanisms across foreign boundaries. In this regard, the present study attempts to extend the findings reported by Singh and Kaur46 by considering pairwise volatility spillover effects among the US-BRIC equity markets and capturing the impact of overall US financial market conditions on pairwise volatility spillover effects across the years 2004–2014 by employing diverse econometric models. The results report bi-directional volatility spillover effects between the US-BRIC equity markets and significant impact of the US financial conditions on ex-ante probabilities for the existence of positive volatility spillovers from the US to Brazilian, Russian and Chinese equity markets only. With an improvement in the US financial condition, probability for the same reduces in the context of Brazilian and Russian equity markets, whereas, in case of the Chinese equity market, probability reduces but at a slower pace. The results bear strong implications for portfolio managers and policy makers and first of its kind.
关键词：BRIC;Financial condition;Information transmissions;US;Volatility spillovers