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首页> 外文期刊>Journal of Forecasting >The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles
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The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles

机译：新兴经济体股市波动的可预测性：地方，区域和全球商业周期的相对作用

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摘要

This paper explores the role of business cycle proxies, measured by the output gap at the global, regional, and local levels, as potential predictors of stock market volatility in the emerging BRICS nations. We observe that the emerging BRICS nations display a rather heterogeneous pattern when it comes to the relative role of idiosyncratic factors as a predictor of stock market volatility. While domestic output gap is found to capture significant predictive information for India and China particularly, the business cycles associated with emerging economies and the world in general are strongly important for the BRIC countries and weakly for South Africa, especially in the postglobal financial crisis era. The findings suggest that despite the increase in the financial integration of world capital markets, emerging economies can still bear significant exposures to idiosyncratic risk factors, an issue of high importance for the profitability of global diversification strategies.
机译：本文探讨了商业周期代理的作用，通过全球，区域和地方各级的产出差距，作为新兴金砖国家股市波动的潜在预测因子。 我们观察到新兴的金砖国家在特殊因素作为股票市场波动预测因素的相对作用方面表现出相当异质的模式。 虽然发现国内产出差距捕捉印度和中国的重要预测信息，但特别是与新兴经济体和世界相关的商业周期对于金砖金国家而言，对南非的弱点是强烈的，特别是在南非的金融危机时代。 调查结果表明，尽管世界资本市场的金融融合增加，但新兴经济体仍然可以对特质风险因素进行重大曝光，这是全球多元化战略盈利能力高度重要的问题。

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