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Directional Spillover Effects Between BRICS Stock Markets and Economic Policy Uncertainty
Asia-Pacific Financial Markets Pub Date : 2020-11-25 , DOI: 10.1007/s10690-020-09328-y
Ngo Thai Hung

In recent years, researchers have increasingly studied the association between the stock market and economic policy uncertainty (EPU). To have more profound knowledge, this paper investigates the evolution of the mean spillover effects between EPU and BRICS stock markets by employing both the multivariate DECO-GARCH model proposed by Engle and Kelly (J Bus Econ Stat 30(2):212–228, 2012) and the spillover index of Diebold and Yilmaz (Int J Forecast 26(1):57–66, 2012). The results uncover that the average return equicorrelation between the BRICS stock indices and EPU is positive. In addition, there is a bidirectional return spillover between EPU and BRICS stock returns in the aftermath of the recent European debt crises and the global financial crisis. Overall, our results reveal the existence of the short term, the pass-through impact of EPU via stock price fluctuation in BRICS countries. These findings might provide significant implications for portfolio managers, investors, and government agencies.

中文翻译:

金砖国家股票市场与经济政策不确定性之间的定向溢出效应

近年来,研究人员越来越多地研究股票市场与经济政策不确定性 (EPU) 之间的关联。为了获得更深入的知识,本文通过采用 Engle 和 Kelly 提出的多元 DECO-GARCH 模型(J Bus Econ Stat 30(2):212–228, 2012)以及 Diebold 和 Yilmaz 的溢出指数(Int J Forecast 26(1):57–66, 2012)。结果表明,金砖国家股票指数与 EPU 之间的平均回报等相关性是正相关的。此外,在近期欧债危机和全球金融危机之后,EPU和金砖国家股票收益之间存在双向收益溢出。总的来说,我们的结果揭示了短期的存在,EPU 通过金砖国家股票价格波动的传递影响。这些发现可能会对投资组合经理、投资者和政府机构产生重大影响。
更新日期:2020-11-25
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