Beneath the Surface: Disentangling the Dynamic Network of the U.S. and BRIC Stock Markets’ Interrelations Amidst Turmoil
The study examines the time-varying correlation and return spillover mechanism among developed (U.S.) and emerging (BRIC) stock markets during major crises from 2000 to 2023, namely the global financial crisis, COVID-19, and the Russia–Ukraine war. To do so, we used dynamic conditional correlation (...
Saved in:
| Main Authors: | , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-12-01
|
| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/12/12/202 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1850102774819192832 |
|---|---|
| author | Neenu Chalissery T. Mohamed Nishad J. A. Naushad Mosab I. Tabash Mujeeb Saif Mohsen Al-Absy |
| author_facet | Neenu Chalissery T. Mohamed Nishad J. A. Naushad Mosab I. Tabash Mujeeb Saif Mohsen Al-Absy |
| author_sort | Neenu Chalissery |
| collection | DOAJ |
| description | The study examines the time-varying correlation and return spillover mechanism among developed (U.S.) and emerging (BRIC) stock markets during major crises from 2000 to 2023, namely the global financial crisis, COVID-19, and the Russia–Ukraine war. To do so, we used dynamic conditional correlation (DCC-GARCH) and time-varying parameter vector autoregression (TVP-VAR) models. This study finds that the nature of market crises plays a significant role in the interrelationship and return spillover mechanisms among the U.S. and BRIC stock markets. The interconnectedness of the stock markets was strengthened by crises such as the GFC and the COVID-19 pandemic. On the other hand, the Russia–Ukraine war temporarily disrupted the interrelationships between the markets. The study yields valuable insight to local and international investors in portfolio diversification and risk management strategies during market turbulence. |
| format | Article |
| id | doaj-art-8c0a90477b3f438ebf97d34efb08e729 |
| institution | DOAJ |
| issn | 2227-9091 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj-art-8c0a90477b3f438ebf97d34efb08e7292025-08-20T02:39:41ZengMDPI AGRisks2227-90912024-12-01121220210.3390/risks12120202Beneath the Surface: Disentangling the Dynamic Network of the U.S. and BRIC Stock Markets’ Interrelations Amidst TurmoilNeenu Chalissery0T. Mohamed Nishad1J. A. Naushad2Mosab I. Tabash3Mujeeb Saif Mohsen Al-Absy4Research Department of Commerce and Management Studies, Farook College (Autonomous) Kozhikode, University of Calicut, Kozhikode 673632, IndiaResearch Department of Commerce and Management Studies, Farook College (Autonomous) Kozhikode, University of Calicut, Kozhikode 673632, IndiaResearch Department of Commerce and Management Studies, Farook College (Autonomous) Kozhikode, University of Calicut, Kozhikode 673632, IndiaDepartment of Business Administration, College of Business, Al Ain University, Al Ain P.O. Box 64141, United Arab EmiratesAccounting and Financial Science Department, College of Administrative and Financial Science, Gulf University, Sanad 26489, BahrainThe study examines the time-varying correlation and return spillover mechanism among developed (U.S.) and emerging (BRIC) stock markets during major crises from 2000 to 2023, namely the global financial crisis, COVID-19, and the Russia–Ukraine war. To do so, we used dynamic conditional correlation (DCC-GARCH) and time-varying parameter vector autoregression (TVP-VAR) models. This study finds that the nature of market crises plays a significant role in the interrelationship and return spillover mechanisms among the U.S. and BRIC stock markets. The interconnectedness of the stock markets was strengthened by crises such as the GFC and the COVID-19 pandemic. On the other hand, the Russia–Ukraine war temporarily disrupted the interrelationships between the markets. The study yields valuable insight to local and international investors in portfolio diversification and risk management strategies during market turbulence.https://www.mdpi.com/2227-9091/12/12/202time-varying correlationspillovermarket crisisU.S.BRICTVP-VAR |
| spellingShingle | Neenu Chalissery T. Mohamed Nishad J. A. Naushad Mosab I. Tabash Mujeeb Saif Mohsen Al-Absy Beneath the Surface: Disentangling the Dynamic Network of the U.S. and BRIC Stock Markets’ Interrelations Amidst Turmoil Risks time-varying correlation spillover market crisis U.S. BRIC TVP-VAR |
| title | Beneath the Surface: Disentangling the Dynamic Network of the U.S. and BRIC Stock Markets’ Interrelations Amidst Turmoil |
| title_full | Beneath the Surface: Disentangling the Dynamic Network of the U.S. and BRIC Stock Markets’ Interrelations Amidst Turmoil |
| title_fullStr | Beneath the Surface: Disentangling the Dynamic Network of the U.S. and BRIC Stock Markets’ Interrelations Amidst Turmoil |
| title_full_unstemmed | Beneath the Surface: Disentangling the Dynamic Network of the U.S. and BRIC Stock Markets’ Interrelations Amidst Turmoil |
| title_short | Beneath the Surface: Disentangling the Dynamic Network of the U.S. and BRIC Stock Markets’ Interrelations Amidst Turmoil |
| title_sort | beneath the surface disentangling the dynamic network of the u s and bric stock markets interrelations amidst turmoil |
| topic | time-varying correlation spillover market crisis U.S. BRIC TVP-VAR |
| url | https://www.mdpi.com/2227-9091/12/12/202 |
| work_keys_str_mv | AT neenuchalissery beneaththesurfacedisentanglingthedynamicnetworkoftheusandbricstockmarketsinterrelationsamidstturmoil AT tmohamednishad beneaththesurfacedisentanglingthedynamicnetworkoftheusandbricstockmarketsinterrelationsamidstturmoil AT janaushad beneaththesurfacedisentanglingthedynamicnetworkoftheusandbricstockmarketsinterrelationsamidstturmoil AT mosabitabash beneaththesurfacedisentanglingthedynamicnetworkoftheusandbricstockmarketsinterrelationsamidstturmoil AT mujeebsaifmohsenalabsy beneaththesurfacedisentanglingthedynamicnetworkoftheusandbricstockmarketsinterrelationsamidstturmoil |