Connectedness Structure and Volatility Dynamics Between BRICS Markets and International Volatility Indices: An Investigation
研究了2019年3月至2023年8月间金砖国家股市与国际波动率指数之间的动态波动关联，发现黑天鹅事件期间溢出效应显著，为投资者风险管理提供指导。
ABSTRACT This research aims to explore and understand the dynamic nature of volatility connectedness between BRICS stock markets and various asset price implied volatility indices through a TVP‐VAR broadened connectedness approach. Results display nontrivial dynamic connectedness in the BRICS stock markets and uncertainties in different markets during the period 31 March 2019–31 August 2023. They also report heterogeneous patterns in the connectedness between stock indices and volatility indices. The time‐varying spillover effect seems to be strong during the black‐swan events. The variations of volatility connectedness among each volatility index and stock market increasingly depend on unusual stress caused by the outbreak of unexpected events. These finding provide significant guidance for investors seeking to enhance their risk management practices. By leveraging the insights into volatility transmission mechanisms and the roles of different volatility indices, investors can make informed decisions to protect and grow their investments in an increasingly volatile global market.