Ganguly Soumya, Bhunia Amalendu
Department of Commerce, Barrackpore Rastraguru Surendranath College, 85 Middle Road and 6 Riverside Road, Barrackpore, West Bengal 700120 India.
Department of Commerce, University of Kalyani, Kalyani, Nadia, West Bengal 741235 India.
SN Bus Econ. 2022;2(8):111. doi: 10.1007/s43546-022-00267-6. Epub 2022 Jul 28.
BRICS economies are important in recent times because the economic growth rates will be higher than the growth rates of G-6 economies in the near future. But the year 2020 has smashed up this tendency due to volatile stock markets of BRICS economies. A detailed examination of the BRICS stock market to determine volatility and relationships since the crisis of 2020 is hardly available in the available research. With this in mind, an attempt has been made to track the stock market's volatility and relationship among the BRICS (Brazil, Russia, India, China, and South Africa) stock market return based on the daily for the period from November 18, 2019 to May 7, 2021. This study deals with the statistical test of GARCH family model and ARDL model. GARCH model shows that the stock market of Russia and India are volatile. The EGARCH model demonstrates that leverage effect exists only in the Indian stock market. ARDL test validates a long-run relationship of the stock market of Russia with China and of the Indian stock market with South Africa. ARDL test also shows a short-run relationship running from the Brazil stock market to the other select stock market, from the Indian stock market to the stock markets of Brazil and South Africa, and from the South African stock market to the Indian stock market. So it can finally be said that investors under the BRICS stock markets should design adequate measures to protect their investments by executing appropriate hedging plan.
金砖国家经济体在近期具有重要意义，因为在不久的将来，其经济增长率将高于G-6经济体的增长率。但2020年由于金砖国家经济体股市动荡，打破了这一趋势。现有研究中几乎没有对2020年危机以来金砖国家股票市场进行详细考察以确定其波动性及相互关系的内容。考虑到这一点，本文尝试基于2019年11月18日至2021年5月7日期间的日数据，追踪金砖国家（巴西、俄罗斯、印度、中国和南非）股票市场回报之间的波动性及关系。本研究涉及GARCH族模型和自回归分布滞后（ARDL）模型的统计检验。GARCH模型显示俄罗斯和印度的股票市场具有波动性。EGARCH模型表明杠杆效应仅存在于印度股票市场。ARDL检验验证了俄罗斯股票市场与中国股票市场以及印度股票市场与南非股票市场之间的长期关系。ARDL检验还显示了从巴西股票市场到其他选定股票市场、从印度股票市场到巴西和南非股票市场以及从南非股票市场到印度股票市场的短期关系。所以最终可以说，金砖国家股票市场的投资者应通过执行适当的套期保值计划来设计充分的措施保护其投资。
