Commonality in BRICS stock markets' reaction to global economic policy uncertainty: Evidence from a panel GARCH model with cross sectional dependence
Finance Research Letters
; 2023.
Article
in English
| Scopus | ID: covidwho-2299482
ABSTRACT
The rapid growth of BRICS has increasingly integrated their markets into the global economy. Thus, making their financial markets more vulnerable to external shocks. This study examines BRICS stock markets' response to global economic policy uncertainty using a panel GARCH model. The results show that global economic policy uncertainty significantly raises volatility with homogeneous response across the markets. The findings also suggests that COVID-19 has amplified the adverse impact of the uncertainties on prices and volatility. One major implication of the findings is that the BRICS can develop a joint policy for mitigating policy uncertainties spillovers. © 2023 Elsevier Inc.
Full text:
Available
Collection:
Databases of international organizations
Database:
Scopus
Type of study:
Observational study
/
Randomized controlled trials
Language:
English
Journal:
Finance Research Letters
Year:
2023
Document Type:
Article
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