STOCK MARKET VOLATILITY AND MEAN REVERSION OF BRICS BEFORE AND AFTER CRISIS
STOCK MARKET VOLATILITY AND MEAN REVERSION OF BRICS BEFORE AND AFTER CRISIS

Summary/Abstract: In this study, we examine the volatility behavior and mean-reverting phenomenon in BRICS stock markets under the GARCH framework. This paper considers the daily indices of BOVESPA (Brazil), MICEX (Russia), SENSEX (India), SSE (China), JSE (South Africa) from 25th September 1997 to 31st March 2018. To understand the time-varying volatility of these markets, the data are divided into three sub-periods, i.e. prior to the US subprime mortgage crisis, during the crisis and post-crisis periods. The symmetric GARCH results show that during the pre-crisis and crisis period Russian markets are highly volatile while China markets are highly volatile in the post-crisis period. The GJR-GARCH results show that China markets do not have the asymmetric effect in the post-crisis period, indicating the information does not have any impact on market returns volatility. For strategic investment decisions, the mean reversion time is calculated and observed that all the markets are not following the same mean reversion process in all sub-periods of the study.

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