Volatility Spillovers Between BRIC © CC BY 4.0 and South African Stock Markets: Evidence from the COVID‑19 and Russia‑Ukraine Crises
The aim of this study was to assess how global crises influenced volatility spillovers between BRIC and South African stock markets. In conducting the study, the methods employed are the generalized autoregressive conditional heteroskedasticity (GARCH) framework and the time-varying parameter vector...
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| Format: | Article |
| Language: | English |
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Financial University
2025-06-01
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| Series: | Review of Business and Economics Studies |
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| Online Access: | https://rbes.fa.ru/jour/article/view/822/270 |
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| _version_ | 1849409646221066240 |
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| author | Lorraine Muguto Amy Moodley Santhiran Pillay Mcabangomuhle Zulu Nonkululeko Vilakazi Hilary Tinotenda Muguto Paul Francois Muzindutsi |
| author_facet | Lorraine Muguto Amy Moodley Santhiran Pillay Mcabangomuhle Zulu Nonkululeko Vilakazi Hilary Tinotenda Muguto Paul Francois Muzindutsi |
| author_sort | Lorraine Muguto |
| collection | DOAJ |
| description | The aim of this study was to assess how global crises influenced volatility spillovers between BRIC and South African stock markets. In conducting the study, the methods employed are the generalized autoregressive conditional heteroskedasticity (GARCH) framework and the time-varying parameter vector autoregressive (TVP-VAR) Diebold-Yilmaz approach, based on a sample period segmented into pre-crisis, COVID-19, and Russia-Ukraine conflict phases. The study results revealed that volatility spillovers intensified during the COVID-19 pandemic due to economic disruptions and uncertainty. At the same time, the Russia-Ukraine conflict saw reduced spillovers due to geopolitical isolation and risk aversion. South Africa consistently emerged as a key volatility transmitter, particularly during crises. The study concludes that different global crises have distinct impacts on volatility transmission and should, therefore, be treated distinctly. The key contribution lies in enhancing the understanding of crisis-driven market integration, providing valuable insights for risk management and policy-making in interconnected financial systems. |
| format | Article |
| id | doaj-art-e29c9dfb0f234e42886e1fa779a1958a |
| institution | Kabale University |
| issn | 2308-944X 2311-0279 |
| language | English |
| publishDate | 2025-06-01 |
| publisher | Financial University |
| record_format | Article |
| series | Review of Business and Economics Studies |
| spelling | doaj-art-e29c9dfb0f234e42886e1fa779a1958a2025-08-20T03:35:24ZengFinancial UniversityReview of Business and Economics Studies2308-944X2311-02792025-06-01132406010.26794/2308-944X-2025-13-2-40-60Volatility Spillovers Between BRIC © CC BY 4.0 and South African Stock Markets: Evidence from the COVID‑19 and Russia‑Ukraine CrisesLorraine Muguto0https://orcid.org/0000-0003-0397-9763Amy Moodley1Santhiran Pillay2Mcabangomuhle Zulu3Nonkululeko Vilakazi4Hilary Tinotenda Muguto5https://orcid.org/0000-0003-2367-3980Paul Francois Muzindutsi6https://orcid.org/0000-0002-4819-8218University of KwaZulu-NataUniversity of KwaZulu-NataUniversity of KwaZulu-NataUniversity of KwaZulu-NatalUniversity of KwaZulu-NatalUniversity of KwaZulu-NataUniversity of KwaZulu-NatalThe aim of this study was to assess how global crises influenced volatility spillovers between BRIC and South African stock markets. In conducting the study, the methods employed are the generalized autoregressive conditional heteroskedasticity (GARCH) framework and the time-varying parameter vector autoregressive (TVP-VAR) Diebold-Yilmaz approach, based on a sample period segmented into pre-crisis, COVID-19, and Russia-Ukraine conflict phases. The study results revealed that volatility spillovers intensified during the COVID-19 pandemic due to economic disruptions and uncertainty. At the same time, the Russia-Ukraine conflict saw reduced spillovers due to geopolitical isolation and risk aversion. South Africa consistently emerged as a key volatility transmitter, particularly during crises. The study concludes that different global crises have distinct impacts on volatility transmission and should, therefore, be treated distinctly. The key contribution lies in enhancing the understanding of crisis-driven market integration, providing valuable insights for risk management and policy-making in interconnected financial systems.https://rbes.fa.ru/jour/article/view/822/270volatility spilloversstock marketbricsdiebold-yilmazcovid-19russia-ukraine conflict |
| spellingShingle | Lorraine Muguto Amy Moodley Santhiran Pillay Mcabangomuhle Zulu Nonkululeko Vilakazi Hilary Tinotenda Muguto Paul Francois Muzindutsi Volatility Spillovers Between BRIC © CC BY 4.0 and South African Stock Markets: Evidence from the COVID‑19 and Russia‑Ukraine Crises Review of Business and Economics Studies volatility spillovers stock market brics diebold-yilmaz covid-19 russia-ukraine conflict |
| title | Volatility Spillovers Between BRIC © CC BY 4.0 and South African Stock Markets: Evidence from the COVID‑19 and Russia‑Ukraine Crises |
| title_full | Volatility Spillovers Between BRIC © CC BY 4.0 and South African Stock Markets: Evidence from the COVID‑19 and Russia‑Ukraine Crises |
| title_fullStr | Volatility Spillovers Between BRIC © CC BY 4.0 and South African Stock Markets: Evidence from the COVID‑19 and Russia‑Ukraine Crises |
| title_full_unstemmed | Volatility Spillovers Between BRIC © CC BY 4.0 and South African Stock Markets: Evidence from the COVID‑19 and Russia‑Ukraine Crises |
| title_short | Volatility Spillovers Between BRIC © CC BY 4.0 and South African Stock Markets: Evidence from the COVID‑19 and Russia‑Ukraine Crises |
| title_sort | volatility spillovers between bric c cc by 4 0 and south african stock markets evidence from the covid 19 and russia ukraine crises |
| topic | volatility spillovers stock market brics diebold-yilmaz covid-19 russia-ukraine conflict |
| url | https://rbes.fa.ru/jour/article/view/822/270 |
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