Empirical Research on the Volatility Risk Contagion Effects between Stock Markets of BRICS

摘要：

　　It is a great significance for the regulatory authorities and investors to recognize the contagion effects and prevention of the volatility risk of stock markets.This paper estimates the volatility risk of stock markets using TARCH model, and detects the contagion effects of the volatility risk between BRICS by means of Granger Causality test method based on the data of stock markets of China, Brazil, Russia and India.The result indicates that the contagion effects of volatility risk of stock markets is much more significant between China and other BRICS countries, but there is weak contagion effects of stock markets between Brazil, Russia and India after the cooperation mechanism was established since April 15th 2010.

关键词： BRICS Stock market Risk contagion TARCH model Granger-Causality Test

作者: LIN Deqin LOU Shiyan LIN Xiaoman

作者单位: Faculty of Business,City University of Macau. Avenida Xian Xing Hai,Ed. Golden Dragon Centre,19° and Zhuhai Branch,China Construction Bank of China. Abbr.Avenue Jiuzhou,Yuhai Global Financial Centre,Zh

会议类型: 国际会议

会议名称: The 7th International Institute of Statistics & Management Engineering Symposium(IISMES2015) (第七届国际统计与管理工程学术研讨会)

会议地点: 山东 日照

会议语种:英文

页码: 410-422

在线出版日期: 2015-08-17（万方平台首次上网日期，不代表论文的发表时间）