Fear Linkages Between the US and BRICS Stock Markets: A Frequency-Domain Causality. Issue 3 (2nd September 2018)

• Record Type: Journal Article
• Authors: Bouri, Elie; Lien, Donald; Roubaud, David; Hussain Shahzad, Syed Jawad
• Is Part Of: International journal of the economics of business. Volume 25:Issue 3(2018)
• Page Start: 441
• Page End: 454
• Publication Date: 2018-09-02
• Subjects: Implied Volatility -- VIX -- BRICS -- Frequency-Domain Causality; C32 -- G15; Economics -- Periodicals; Business -- Periodicals; 338.5024658
• DOI: 10.1080/13571516.2018.1505241
• Languages: English
• ISSNs: 1357-1516

Abstract

Abstract: We employ a spectral causality approach to uncover short-, medium-, and long-run causal relations between the US implied volatility index and the five individual implied volatility indexes of BRICS markets from 16 th March 2011 to 31 st January 2018. We show that the volatility causal relations differ between the short and long run in many cases. Although the results indicate the dominant role played by US uncertainty in shaping uncertainty in all BRICS markets, there is also evidence of a feedback effect from Brazil, Russia, and China to the US that differs across the spectrum. The implications for hedging and risk management practices are explored.