The Effect of Global Risk Indicators on Developing Country Stock Exchanges: The Case of BRICS-T
The Effect of Global Risk Indicators on Developing Country Stock Exchanges: The Case of BRICS-T
Author(s): Ender Baykut, Selver DIYARSubject(s): Economy, National Economy, Business Economy / Management, Micro-Economics, Marxist economics, Financial Markets, Public Finances, Accounting - Business Administration
Published by: Acadlore Publishing Services Limited
Keywords: VIX Index; Credit Default Swaps; Global Risk; Emerging Markets;
Summary/Abstract: Global risk factors have great impacts on the economies and financial markets. It is observed that the stock markets of countries are affected by globalization especially in times of global crisis. To this end, CDS, VIX and Credit Ratings have started to be examined recently in order to decrease global risk factors. CDS, VIX, and Credit Ratings were determined as global risk indicators and these variables used as independent variables to detect the effect on BRICS-T (Brazil, Russia, India, China, South Africa and Turkey) stock market returns. Daily data set of these variables from 2008 to 2020 were gathered for each country. After preliminary analysis, ARDL model was determined as the best-fitted model for each data set. According to ARDL Bound test approach, except for China, it was detected long-term relationship between variables for the all-remaining (Brazil, Russia, India, South Africa, and Turkey) countries. It means that global risk indicators affect the returns of stock markets in emerging markets.
Journal: The Journal of Corporate Governance, Insurance, and Risk Management (JCGIRM)
- Issue Year: 8/2021
- Issue No: 1
- Page Range: 101-117
- Page Count: 17
- Language: English