Asymmetric Dynamics in the Correlation of BRICS Countries: Evidence from ADCC GARCH Model

Samar Zlitni Abdelkafi and Walid Khoufib

Published on: 2019-03-30


BRICS (Brazil, Russia, India, China and South Africa) are currently designed as pillars of relative economic, political and financial stability. The paper’s aim is to investigate the interrelationships among these countries because of the relevance of this information to investors, traders and policy makers. For this purpose, we estimate the Asymmetric DCC model for BRICS’s stock markets. Our empirical results show during the period of 2007-2009 global financial crisis, there are significant contagion effects between BRICS s’ stock markets. For all cases, the sum of ARCH and GARCH coefficients is less than unity suggesting the great long run persistence of volatility. The coefficient γ is significant for all selected stock markets indicating the asymmetric behavior in volatility. Yet, the degree of stock market reactions to such shocks differs from one market to another, depending on the level of integration with the international economy.