Title: Is the BRICS decoupling effect reversing? Evidence from dynamic models

Authors: Stavros Stavroyiannis

Addresses: Department of Accounting and Finance, School of Management and Economics, Technological Educational Institute of Peloponnese, Greece

Abstract: The recent large drop of the crude oil price since the mid-2014 has created financial turbulence in the oil-based exporting emerging markets countries. The impact of this shock is examined for the BRICS markets using two approaches: 1) we study the BRICS as a group for any recent time varying herding or anti-herding behaviour using stochastic volatility models; 2) the bivariate properties of the group are examined via implementation of the multivariate GARCH methodology. Both approaches indicate a reversal of the behaviour; the statistically significant anti-herding behaviour is diminishing, and a rise of the dynamic conditional correlations is observed.

Keywords: BRICS countries; herding behaviour; stochastic volatility; dynamic conditional correlation; DCC; multivariate GARCH; dynamic modelling; crude oil prices; financial turbulence; anti-herding behaviour; Brazil; Russia; India; China; South Africa.

DOI: 10.1504/IJEBR.2017.083320

International Journal of Economics and Business Research, 2017 Vol.13 No.3, pp.303 - 315

Received: 20 Oct 2016
Accepted: 22 Oct 2016
Published online: 23 Mar 2017 *

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