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首页> 外文期刊>International review of economics & finance >Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets
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Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets

机译：信息传递与股票价格走势：金砖国家和美国股票市场的实证分析

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This paper investigates the information transmission and spillover effects between the US stock market and the emerging stock markets of Brazil, Russia, India, China, and South Africa (BRICS) for the period 1999 to 2012. The paper uses a variant of the aggregate shock model under the GARCH framework and investigates the effects of both return and volatility spillover from the US market to the BRICS markets and among the BRICS markets. The chronological order of trading among the six markets (US and five BRICS markets) is utilized in analyzing the transmission of information between the US and BRICS equity markets. The results suggest that the US stock market has a significant mean return and volatility spillover effects on the BRICS stock markets. In addition, the Chinese stock market exerts a significant mean spillover effects on both the Indian and the US stock markets, and the mean spillover effects from the Indian market to the Chinese market are equally strong. Further, overnight returns in the BRICS stock markets are significantly influenced by their own latest daytime returns. The results contribute to the extant spillover literature in demonstrating that the mean and volatility spillover effects exist not only from the US market to the well-developed equity markets of Europe and East Asia as shown in previous studies, but they also exist from the US market to the emerging equity markets of BRICS economies.
机译：本文研究了1999年至2012年期间美国股票市场与巴西，俄罗斯，印度，中国和南非（BRICS）的新兴股票市场之间的信息传递和溢出效应。本文使用了总冲击的一种变体在GARCH框架下建立模型，并研究了收益率和波动率溢出从美国市场到金砖四国市场以及金砖四国之间的影响。六个市场（美国和五个金砖国家市场）之间的交易时间顺序用于分析美国和金砖国家股市之间的信息传递。结果表明，美国股票市场对金砖四国股票市场具有显着的平均收益率和波幅溢出效应。此外，中国股票市场对印度和美国股票市场均具有显着的平均溢出效应，而印度市场对中国市场的平均溢出效应也同样强劲。此外，金砖四国股票市场的隔夜收益受到其自身最新日间收益的显着影响。该结果有助于现有的溢出文献证明，均值和波动性溢出效应不仅存在于美国市场，如先前研究所示，还存在于发达的欧洲和东亚股票市场，也存在于美国市场。金砖国家经济体的新兴股票市场。

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