The volatility behavior of emerging BRICS stock markets

Abstract

Ever since the world economies adopted the liberalization process, the emerging
economies and the group of emerging economies especially BRICS have gained its importance
due to their size and potential for growth in various sectors of their economies. In this paper we
have undertaken the study of volatility behavior of BRICS stock markets as it is very crucial for
investment decisions. The closing prices of the indices BOVESPA, MICEX, SENSEX, SSE, and
FTSE/JSE were collected from 31st march 2005 to 31st march 2015. Further, this sample period
is sub divided into three periods to represent the Pre Crisis, Crisis and Post Crisis period of
global financial crisis of 2008. The volatility persistence is observed in all the five indices for all
the periods by using GARCH(1,1) model and asymmetric effects observed in all the indices
except for China by using GJRGARCH(1,1) model and News impact curve analysis.