Does global fear predict fear in BRICS stock markets?: Evidence from a Bayesian Graphical Structural VAR model

Elie Bouri, Rangan Gupta, Seyedmehdi Hosseini, Chi Keung Lau

Research output: Contribution to journalArticle

15 Citations (Scopus)

Abstract

We examine the predictive power of implied volatility in the commodity and major developed stock markets for the implied volatility in individual BRICS stock markets. We use daily data from March 2011 to October 2016 and employ the newly developed Bayesian Graphical Structural Vector Autoregressive (BGSVAR) model of Ahelegbey et al. (2016). Evidence suggests that the predictability of individual implied volatilities in BRICS is generally a function of both global and within the group stock market implied volatilities, and that the role of commodity market volatility is marginal, except for South Africa. Important implications for policy-makers and portfolio-managers are discussed.
LanguageEnglish
Pages124-142
Number of pages19
JournalEmerging Markets Review
Volume34
Early online date13 Nov 2017
DOIs
Publication statusPublished - 1 Mar 2018

Fingerprint

Implied volatility
Structural VAR models
Stock market
Predictive power
Vector autoregressive model
Market volatility
Commodity markets
Politicians
South Africa
Commodities
Predictability
Managers

Cite this

@article{a13c090fdeac45cd86908e94f2dbd5ce,
title = "Does global fear predict fear in BRICS stock markets?: Evidence from a Bayesian Graphical Structural VAR model",
abstract = "We examine the predictive power of implied volatility in the commodity and major developed stock markets for the implied volatility in individual BRICS stock markets. We use daily data from March 2011 to October 2016 and employ the newly developed Bayesian Graphical Structural Vector Autoregressive (BGSVAR) model of Ahelegbey et al. (2016). Evidence suggests that the predictability of individual implied volatilities in BRICS is generally a function of both global and within the group stock market implied volatilities, and that the role of commodity market volatility is marginal, except for South Africa. Important implications for policy-makers and portfolio-managers are discussed.",
keywords = "Bayesian Graphical Structural, VAR, Volatility predictability, Implied volatility index, VIX, Strategic commodities, BRICS, Bayesian Graphical Structural VAR",
author = "Elie Bouri and Rangan Gupta and Seyedmehdi Hosseini and Lau, {Chi Keung}",
year = "2018",
month = "3",
day = "1",
doi = "10.1016/j.ememar.2017.11.004",
language = "English",
volume = "34",
pages = "124--142",
journal = "Emerging Markets Review",
issn = "1566-0141",
publisher = "Elsevier",

}

Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model. / Bouri, Elie ; Gupta, Rangan ; Hosseini, Seyedmehdi ; Lau, Chi Keung.

In: Emerging Markets Review, Vol. 34, 01.03.2018, p. 124-142.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Does global fear predict fear in BRICS stock markets?

T2 - Emerging Markets Review

AU - Bouri, Elie

AU - Gupta, Rangan

AU - Hosseini, Seyedmehdi

AU - Lau, Chi Keung

PY - 2018/3/1

Y1 - 2018/3/1

N2 - We examine the predictive power of implied volatility in the commodity and major developed stock markets for the implied volatility in individual BRICS stock markets. We use daily data from March 2011 to October 2016 and employ the newly developed Bayesian Graphical Structural Vector Autoregressive (BGSVAR) model of Ahelegbey et al. (2016). Evidence suggests that the predictability of individual implied volatilities in BRICS is generally a function of both global and within the group stock market implied volatilities, and that the role of commodity market volatility is marginal, except for South Africa. Important implications for policy-makers and portfolio-managers are discussed.

AB - We examine the predictive power of implied volatility in the commodity and major developed stock markets for the implied volatility in individual BRICS stock markets. We use daily data from March 2011 to October 2016 and employ the newly developed Bayesian Graphical Structural Vector Autoregressive (BGSVAR) model of Ahelegbey et al. (2016). Evidence suggests that the predictability of individual implied volatilities in BRICS is generally a function of both global and within the group stock market implied volatilities, and that the role of commodity market volatility is marginal, except for South Africa. Important implications for policy-makers and portfolio-managers are discussed.

KW - Bayesian Graphical Structural

KW - VAR

KW - Volatility predictability

KW - Implied volatility index

KW - VIX

KW - Strategic commodities

KW - BRICS

KW - Bayesian Graphical Structural VAR

UR - http://www.scopus.com/inward/record.url?scp=85034854601&partnerID=8YFLogxK

U2 - 10.1016/j.ememar.2017.11.004

DO - 10.1016/j.ememar.2017.11.004

M3 - Article

VL - 34

SP - 124

EP - 142

JO - Emerging Markets Review

JF - Emerging Markets Review

SN - 1566-0141

ER -