| Summary: | This dissertation examines the mean and volatility spillover effects of BRIC equity indexes and
regional and global equity indexes as a proxy for integration. Spillover effects are measured using
a two-step GARCH process as set out by Bhar & Nikolova (2007) using the standardised
residuals of the regional and global equity indexes in the mean and variance equations of BRIC
equity returns. GARCH (1, 1), GARCHM (1, 1) and EGARCH (1, 1) models are all used to
examine spillover effects. The time period between September 1995 and June 2014 is examined,
with two periods considered a pre-crisis period, 01/09/1995 - 21/02/2007, and a post-crisis
period, 22/02/2007 – 30/06/2014. By examining these two period this dissertation examines
changes in integration through spillover effects between BRIC countries, their respective regions
and the world.
The results find that mean spillovers have increased between BRIC countries and the world
while they have decreased with regions. This indicates that the BRIC equity price creation
process has shifted away from regional influences towards global influences. While the changes
between the pre-crisis and post-crisis period of volatility spillovers provided mixed results
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