Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach
In this study, we employ the GARCH–MIDAS (Generalised Autoregressive Conditional
Heteroskedasticity variant of Mixed Data Sampling) model to investigate the response of …
Heteroskedasticity variant of Mixed Data Sampling) model to investigate the response of …
A study of macroeconomic effects on the growth of BRICS: a systematic review
S Kaur, S Aggarwal, V Garg - International Journal of …, 2023 - inderscienceonline.com
The purpose of this paper is to synthesise the existing literature on study of macroeconomic
variables on the economic growth of BRICS countries in a systematic manner, where GDP …
variables on the economic growth of BRICS countries in a systematic manner, where GDP …
Stock market efficiency analysis using long spans of data: A multifractal detrended fluctuation approach
This paper investigates the multifractality and efficiency of stock markets in eight developed
(Canada, France, Germany, Italy, Japan, Switzerland, UK and USA) and two emerging (India …
(Canada, France, Germany, Italy, Japan, Switzerland, UK and USA) and two emerging (India …
A comparative analysis of the nature of stock return volatility in BRICS and G7 markets
Through globalization and financial market liberalization, the opening up of markets has
increased cross-border investments as investors search for higher risk-adjusted returns. This …
increased cross-border investments as investors search for higher risk-adjusted returns. This …
Dynamic linkages and integration among five emerging BRICS markets: Pre-and Post-BRICS period analysis
This study aims to explore dynamic linkages and integration among emerging markets of
BRICS, especially comparing the pre-and post-BRICS formation period behaviors and …
BRICS, especially comparing the pre-and post-BRICS formation period behaviors and …
Measures of volatility, crises, sentiment and the role of US 'Fear'Index (VIX) on herding in BRICS (2007–2021)
H Zhang, E Giouvris - Journal of Risk and Financial Management, 2022 - mdpi.com
We look into determinants (volatility, crises, sentiment and the US 'fear'index) of herding
using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived …
using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived …
Investor overconfidence in the South African exchange traded fund market
Abstract Exchange Traded Funds (ETFs) have proven to be extremely popular amongst both
retail and institutional investors. The increasing interest in this asset class may incite …
retail and institutional investors. The increasing interest in this asset class may incite …
The exchange rates volatilities impact on the stock and real estate markets in South Africa
Purpose Understanding which market to invest in for a well-diversified portfolio is
fundamental in economies that are highly vulnerable to fluctuations in exchange rates …
fundamental in economies that are highly vulnerable to fluctuations in exchange rates …
Asymmetric market efficiency of the Eurozone using the MF-DFA: a comparison between global financial crisis and COVID-19 era
Purpose This research paper aims to explore asymmetric market efficiency of the 13 Euro
countries, ie Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherland …
countries, ie Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherland …
Dynamic connectedness among the BRICS markets and the recent pandemic: an application of TVP-VAR approach
Purpose This study analyses the impact of the Covid-19 on stock market performance of
BRICS nations together. BRICS countries comprise almost 30% of the global GDP and …
BRICS nations together. BRICS countries comprise almost 30% of the global GDP and …