<< N°146
| N°146 | ||
| Issue Q2 2016 | ||
| The Interactive Relationship Between the US Economic Policy Uncertainty and BRIC Stock Markets | ||
|
Imen Dakhlaoui Chaker Aloui |
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| The purpose of this paper is to investigate the dynamics of volatility spillovers between the US economic policy uncertainty and the BRIC equity markets. To do so, we perform the cross correlation function suggested by Cheung–Ng (1996) within a rolling approach. Although the mean return spillover between the BRIC stock indices and US uncertainty is negative, the volatility spillover is found to oscillate between negative and positive values. Therefore, it is highly risky for investors to invest in the US and BRIC stock markets simultaneously. In addition, we find that there is strong evidence of a time-varying correlation between US economic uncertainty and stock market volatility. Furthermore, the correlation is found to be highly volatile during periods of global economic instability. So, market participants in the BRIC stock markets do closely monitor the US economic policy conditions. |
Abstract |
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| Cross Correction Function ; Rolling Correlation ; Economic Uncertainty ; BRIC Equity Markets ; Volatility Spillovers ; | Keywords | |
| C32 ; C51 ; E44 ; E60 ; G17 ; | JEL classification | |
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