The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles
The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles
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新兴经济体股市波动的可预测性：地方、区域和全球商业周期的相对作用
DOI：
10.1002/for.2672
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发表时间：
2020-03-03
影响因子：
3.4
通讯作者：
Sun, Xiaojin
中科院分区：
文献类型：
--
作者：
Bouri, Elie;Demirer, Riza;Sun, Xiaojin
本文探讨了经济周期指标（通过全球、区域和地方层面的产出缺口来衡量）作为新兴金砖国家股市波动的潜在预测指标的作用。我们观察到，新兴金砖国家在特殊因素作为股市波动预测因素的相对作用方面表现出相当异质的模式。虽然国内产出缺口尤其能够捕捉印度和中国的重要预测信息，但与新兴经济体和整个世界相关的商业周期对金砖四国非常重要，而对南非则较弱，特别是在后全球金融危机时代。研究结果表明，尽管世界资本市场的金融一体化程度不断提高，新兴经济体仍然可能承受巨大的特殊风险因素的影响，这对于全球多元化战略的盈利能力而言非常重要。
This paper explores the role of business cycle proxies, measured by the output gap at the global, regional, and local levels, as potential predictors of stock market volatility in the emerging BRICS nations. We observe that the emerging BRICS nations display a rather heterogeneous pattern when it comes to the relative role of idiosyncratic factors as a predictor of stock market volatility. While domestic output gap is found to capture significant predictive information for India and China particularly, the business cycles associated with emerging economies and the world in general are strongly important for the BRIC countries and weakly for South Africa, especially in the postglobal financial crisis era. The findings suggest that despite the increase in the financial integration of world capital markets, emerging economies can still bear significant exposures to idiosyncratic risk factors, an issue of high importance for the profitability of global diversification strategies.