Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework

This paper examines the level of integration and the dynamic relationship between the BRIC countries, their respective regions and the world. We find that India shows the highest level of regional and global integration among the BRIC countries, followed by Brazil and Russia and lastly by China. The...

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Bibliographic details
Volume: 19
Main Author: Bhar, Ramaprasad
Nikolova, Biljana
Format: Journal Article
Language: English
Place of publication: Greenwich Elsevier Inc 2009
Elsevier Science Ltd
published in: Global finance journal Vol. 19; no. 3; pp. 203 - 218
Data of publication: 2009
ISSN: 1044-0283
EISSN: 1873-5665
Discipline: Business
Series: Global Finance Journal
Online Access: available in Bonn?
Database: RePEc IDEAS
ProQuest One Business
ProQuest One Business (Alumni)
Database information Databases - DBIS