Analyzing downside risk of BRICS stock indices: insights from value at risk and time series econometrics

被引:0
|
作者
Ghulam, Younis Ahmed [1 ]
Joo, Bashir Ahmad [2 ]
机构
[1] Univ Kashmir, Contractual Fac, Dept Management Studies, Srinagar, India
[2] Univ Kashmir, Dept Management Studies, Srinagar, India
关键词
Downside risk; Value at Risk; Diversification; Stock return; BRICS; Risk management; RETURNS; VOLATILITY; MARKETS; TRANSMISSION; LINKAGES;
D O I
10.1108/JFEP-01-2024-0022
中图分类号
F [经济];
学科分类号
02 ;
摘要
PurposeThis paper aims to analyze the downside risk for the stock indices of BRICS countries. The study also aimed to study the interrelationship, directional influence and interdependence among the stock exchanges of BRICS economies to provide insights for policymakers, fund managers, investors and other stakeholders.Design/methodology/approachThe authors used Value at Risk (VaR) as an indicator of downside risk and time series econometrics for measuring the long run relationship, directional influence and interdependence.FindingsThe calculated VaR estimates, long-run linkages and strong interdependence among these indices especially with the returns of Brazil exerting a notable impact on the returns of other BRICS nations. These results emphasize the significance of taking into account cross-country spillover effects and domestic market dynamics in the context of portfolio management and risk assessment strategies. Further, from the extended results of variance decomposition analysis, the authors find that Brazil's, China's and South African stock market returns have a significantly lagged impact on their own stock market, while Russia's and India stock market returns do not have a significantly lagged impact on their own stock markets.Originality/valueTo the best of the authors' knowledge, this is the first study comprehensively analyzing the BRICS indices downside risk through the historical simulation method of VaR estimation, which is an unexplored area of risk management.
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页码:29 / 51
页数:23
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