Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices

2019 ◽  
Vol 18 (3) ◽  
pp. 263-289 ◽  
Author(s):  
Gagan Sharma ◽  
Parthajit Kayal ◽  
Piyush Pandey
Keyword(s):  
International Finance ◽  
Implied Volatility ◽  
Jel Classification ◽  
Brics Countries ◽  
Volatility Index ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Portfolio Managers ◽  
Information Linkages ◽  
Autoregressive Conditional Heteroscedasticity

In this article, we examine the information linkages of the forward-looking measure of volatility, the volatility index (VIX), for underlying equity market indices of BRICS countries—Brazil, Russia, India, China and South Africa. A study of the information transmission process confirmed a long-run equilibrium relationship between pairs of BRICS countries. The multivariate generalised autoregressive conditional heteroscedasticity (MGARCH) model revealed strong intertemporal linkages between sample VIX. Return and volatility spill-over matrix show the varying degree of connectedness of BRICS VIX across the study period. This study contributes to the international finance literature and has important implications for investors, portfolio managers, policymakers and academia. JEL Classification: C58, F36, G11, G14, G15

Information and volatility linkages across energy and financial markets

2019 ◽  
Vol 44 (4) ◽  
pp. 594-613 ◽  
Author(s):  
Ashley Ding
Keyword(s):  
Financial Markets ◽  
Implied Volatility ◽  
Energy Transition ◽  
Jel Classification ◽  
Common Information ◽  
Trading Model ◽  
The Common ◽  
Information Linkages ◽  
Volatility Linkages ◽  
Impacts Of Climate Change

This study examines information and volatility linkages across energy and financial markets. In a world economy so connected, the impacts of climate change are likely to be transmitted through interlinked global markets. Hence, uncovering and understanding the interaction across these markets is a fundamental concern during the energy transition as it helps to understand how to strengthen incentives to facilitate energy investments. Based on the relation between information flows and volatility, this study employs a simple correlation approach based on implied volatility measures and the trading model of Fleming et al. to measure the common information linkages, as gauged by the correlation of return volatilities. The results suggest that volatility linkages across these markets are strong due to common information sharing and cross-market hedging. JEL Classification: G12, G14

The Recent Inflation Crisis and Long-run Economic Growth in India: An Empirical Survey of Threshold Level of Inflation

2017 ◽  
Vol 6 (1) ◽  
pp. 105-132 ◽  
Author(s):  
Jaganath Behera ◽  
Alok Kumar Mishra
Keyword(s):  
Economic Growth ◽  
Structural Break ◽  
Threshold Level ◽  
Jel Classification ◽  
Empirical Survey ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run

This article investigates the existence of a threshold level of inflation and how any such level affects the growth of Indian economy. The article also seeks to examine the dynamic short-run and long-run relationship between inflation and economic growth in India. By employing spline regression method to estimate the threshold level of inflation and the long-run and short-run relationships, the results show a statistically significant structural break in the relationship between inflation and economic growth at 4 per cent. The study suggests that if inflation exceeds the threshold point, that is, 4 per cent, it will negatively affect economic growth. The autoregressive distributed lag (ARDL) model bound testing cointegration suggests that there are two cointegration vectors when gross domestic product and rate of interest are considered as the dependent variables. This result confirms the existence of the long-run equilibrium relationship between economic growth, inflation, exchange rate and rate of interest. From the long-run analysis, the study found that inflation is positively related to economic growth, whereas the other variables are not significant. JEL Classification: E4, E6

scholarly journals Analysing the Relationship Between Co2 Emissions and GDP in China; A Fractional Integration and Cointegration Approach

2021 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Gloria Claudio-Quiroga ◽  
Luis Gil-Alana
Keyword(s):  
Co2 Emissions ◽  
Long Memory ◽  
Fractional Integration ◽  
Environmental Policies ◽  
Jel Classification ◽  
Real Gdp ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Cointegration Tests ◽  
The Relationship

Abstract This paper examines the relationship between the logarithms of CO2 emissions and real GDP in China by applying fractional integration and cointegration methods. These are more general than the standard methods based on the dichotomy between stationary and non-stationary series, allow for a much wider variety of dynamic processes, and provide information about the persistence and long-memory properties of the series and thus on whether or not the effects of shocks are long-lived. The univariate results indicate that the two series are highly persistent, their orders of integration being around 2, whilst the cointegration tests (using both standard and fractional techniques) imply that there exists a long-run equilibrium relationship between the two variables in first differences, i.e. their growth rates are linked together in the long run. This suggests the need for environmental policies aimed at reducing emissions during periods of economic growth. JEL Classification: C22, C32, Q56

Trade and Economic Integration in BRICS

2016 ◽  
pp. 45-57 ◽  
Author(s):  
Akhilesh Chandra Prabhakar
Keyword(s):  
Economic Integration ◽  
Absorptive Capacity ◽  
Direct Investment ◽  
Fdi Inflows ◽  
Brics Countries ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Positive Growth ◽  
National Economies ◽  
Sustainable Equilibrium

This chapter examines the existing pattern in the area of trade and economic integration among the BRICS countries which was tended to be neglected and to which there have been few original or significant contributions until now. The research results indicate the presence of the long-run sustainable equilibrium relationship between Foreign Direct Investment (FDI), trade and economic growth. It is thus important that policymakers have to remove obstacles to FDI inflows and improve the respective absorptive capacity of national economies in order to maximize positive growth effects. This study also discusses how China performed well through attracting FDI inflows and maintained trade balance.

Trade and Economic Integration in BRICS

2020 ◽  
pp. 1139-1151
Author(s):  
Akhilesh Chandra Prabhakar
Keyword(s):  
Economic Integration ◽  
Absorptive Capacity ◽  
Direct Investment ◽  
Fdi Inflows ◽  
Brics Countries ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Positive Growth ◽  
National Economies ◽  
Sustainable Equilibrium

This chapter examines the existing pattern in the area of trade and economic integration among the BRICS countries which was tended to be neglected and to which there have been few original or significant contributions until now. The research results indicate the presence of the long-run sustainable equilibrium relationship between Foreign Direct Investment (FDI), trade and economic growth. It is thus important that policymakers have to remove obstacles to FDI inflows and improve the respective absorptive capacity of national economies in order to maximize positive growth effects. This study also discusses how China performed well through attracting FDI inflows and maintained trade balance.

Does Governance Matter? Evidence from BRICS

2019 ◽  
pp. 097215091986122
Author(s):  
Bhanu Pratap Singh
Keyword(s):  
Economic Development ◽  
Panel Cointegration ◽  
Least Square ◽  
Economic Modelling ◽  
Causality Test ◽  
Brics Countries ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run ◽  
Long Run Equilibrium

The role of governance is widely debated in the process of economic development. The current study focuses on examining the growth and the governance relationship for BRICS countries utilizing the annual balanced panel data for the period spanning from 1997 to 2015. Per capita real GDP growth is taken as a proxy for economic growth and six World Bank Governance Indicators are used as a measure of governance. Pedroni (2004, Econometric Theory, 20, 597–625) panel cointegration technique and fully modified ordinary least square (FMOLS) are used to look into a long-run equilibrium relationship. Dumitrescu and Hurlin’s (2012, Economic Modelling, 29, 1450–1460) panel causality test is used as a short-run diagnostics test for long-run equilibrium relationship. The major findings of the study show that growth and governance are complementary to each other. In the long run, governance promotes and sustains high-income growth, whereas, in the short run, minimum economic development is required for better functioning of institutions.

scholarly journals Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information

2019 ◽  
Vol 11 (14) ◽  
pp. 3906 ◽  
Author(s):  
Jeng-Bau Lin ◽  
Chin-Chia Liang ◽  
Wei Tsai
Keyword(s):  
Granger Causality ◽  
Oil Prices ◽  
Stock Index ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Volatility Index ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Bounds Test ◽  
Long Run Equilibrium

This paper investigates the linear/nonlinear long-run and short-run dynamic relationships between oil prices and two implied volatilities, oil price volatility index (OVX) and stock index options volatility index (VIX), representing panic gauges. The results show that there is a long-run equilibrium relationship between oil prices and OVX (VIX) using the linear autoregressive distributed lag (ARDL)-bounds test. Likewise, while using the nonlinear autoregressive distributed lag (NARDL)-bounds test, not only does a long-run equilibrium relationship exist, but also the rising OVX (VIX) has a greater negative influence on oil prices than the declining OVX (VIX), thus indicating that a long-run, asymmetric cointegration exists between the variables. Furthermore, OVX (VIX) oil prices have a linear Granger causality, while for the nonlinear Granger causality test, oil prices have a bidirectional relation with OVX (VIX). In addition, we find that once major international political and economic events occur, structural changes in oil prices change the behavior of oil prices, and thus panic indices, thereby switching from a linear relationship to a nonlinear one. The empirical results of this study provide market participants with more valuable information.

Examining Contemporaneous Relationship between Return of Nifty Index and India VIX

2015 ◽  
Vol 5 (2) ◽  
Author(s):  
Prasenjit Chakrabarti
Keyword(s):  
Implied Volatility ◽  
Stock Index ◽  
Quadratic Effect ◽  
Asymmetric Building ◽  
Volatility Index ◽  
India Vix ◽  
The Relationship

The study examines the contemporaneous relationship between Nifty returns and India VIX returns. Literature documents that the relationship between them is negative and asymmetric. Building on this, the study considers the linear and quadratic effect of stock index return (CNX Nifty) and examines the changes in implied volatility index (India VIX). The study finds both linear and quadratic CNX Nifty index returns are significant for changes in the level of India VIX. Findings suggest that India VIX provides insurance both for downside market movement and size of the downside movement.

scholarly journals The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies

2021 ◽  
Vol 13 (2) ◽  
pp. 676
Author(s):  
Ramiz ur Rehman ◽  
Muhammad Zain ul Abidin ◽  
Rizwan Ali ◽  
Safwan Mohd Nor ◽  
Muhammad Akram Naseem ◽  
...  
Keyword(s):  
South Africa ◽  
Function Analysis ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Individual Country ◽  
Brics Countries ◽  
Long Run ◽  
Integration Test ◽  
Short Run ◽  
Equity Indices

This study investigates the integration of environmental, social, and governance (ESG) equity indices with conventional indices in Brazil, Russia, India, China, and South Africa (BRICS) individually and across all BRICS countries to better understand regional economic cooperation. Accordingly, we look at daily returns from 13 July 2013 to 28 February 2018 for the Morgan Stanley Capital International (MSCI) ESG indices and MSCI composite indices of the respective countries. To analyze the integration between the ESG equity indices of the sampled countries with their regional and across regional conventional counterparts, the Johansen Co-integration test is employed in this study. Further, the vector error correction model (VECM) is applied to test the causality between the sampled time-series. The impulse response function analysis further explains the impulse responses of each country’s MSCI ESG returns to one standard deviation of innovations to MSCI composite returns of the same country and across countries. Finally, the extent of the MSCI composite returns’ impact on the MSCI ESG returns in the same country indices, and cross-regional indices is examined with variance decomposition analysis. The results suggest that all ESG equity indices are integrated with conventional indices in all BRICS countries. Furthermore, there is a short-or long-run causality between MSCI ESG and MSCI composite equity indices of China and South Africa. Moreover, the study finds only short-run causality between conventional and non-conventional equity indices of Brazil and Russia, whereas we find only long-run causality between India’s non-conventional and conventional equity indices. Finally, the study finds that the all-individual country MSCI ESG equity indices shows a long-run causality with MSCI composite equity indices of all other BRICS countries. The findings also confirm the economic and financial cooperation between the BRICS countries.

An investor sentiment barometer — Greek Implied Volatility Index (GRIV)

2012 ◽  
Vol 23 (2) ◽  
pp. 77-93 ◽  
Author(s):  
Costas Siriopoulos ◽  
Athanasios Fassas
Keyword(s):  
Implied Volatility ◽  
Investor Sentiment ◽  
Volatility Index
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