Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258607 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 10 [Article No.:] 503 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-29
Publisher: 
MDPI, Basel
Abstract: 
This paper investigates the relationship between the BRICs' and the advanced economies' stock markets from 2000 to 2016 utilizing continuous wavelet transform. The continuous wavelet transform allows us to explore these relationships in the time-frequency domain to capture short- and long-term investors' perspectives. Bi-directional spillovers are captured in terms of returns and volatility. In addition to covering the periods of the dot.com crash, the 11 September 2001 events, the pre-2007 financialization bubble period and the resulting Global Financial Crisis, we study volatility spillovers arising from the BRIC, U.S. and European market shocks post the Global Financial Crisis. Based on our results, we confirm findings in relatively fragmented literature that document time-varying and imperfect BRIC markets' integration with mature economies. Overall, we show that arbitrage opportunities continue to exist in international stock market portfolios with respect to BRIC assets. In a major addition to the literature, our study captures spillovers from the advanced economies' shocks to BRIC markets, as well as contagion from BRIC markets' shocks to advanced economies' markets.
Subjects: 
wavelet
wavelet analysis
contagion
volatility
risk spillovers
BRIC
financial integration
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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