Dynamic Characteristics Of Index Returns In The BRICS's Stock Markets

With the development of global economic integration,the capital market has a very important impact on the global economy.As a critical component of the capital market,the stock market plays a decisive role in the national economic development.In order to avoid the uncertainty and risk of the stock market,it is very crucial to accurately characterize the volatility of the stock index returns.In the first chapter,this article combed the researches at home and abroad which had studied on asymmetric volatility and spillover effects of the stock market returns.In the second place,it summarized the model theory and research methods used in the paper.The studies display that most western stock markets have volatility asymmetry and and spillover effects,while performance of asymmetric volatility in our country is different from foreign markets.The equally important factor that deserves our attention is that good news can bring higher volatility than bad news in Chinese stock market.The third chapter is about the characteristic of volatility asymmetry in the stock market of BRICS and the cause of Chinese special volatility asymmetry.This paper investigates the asymmetric volatility of the BRICS stock index returns,using the ARMA and GARCH models.The results of ARMA and GARCH models prove that there are significantly volatility clustering and persistence in the BRICS stock markets.It also indicates strong evidence of the asymmetrical impacts on Brazil,Russia,India and South Africa's stock market,when China appearing opposite leverage effect.Moreover,stock markets' risk in India and South Africa is stronger than other countries in the BRICS,which means that there are more adverse impacts with the volatility of stock index' s yield.Last but not the least,this paper empirically analyzed the spillover effect of the BRICS stock index returns by VAR models and DCC-GARCH models,and drew the conclusion about the relationship,the time-varying correlation and the volatility spillovers between the stock markets in the BRICS countries.The empirical study shows that Brazil stock market,Russian stock market and South African stock market have obvious bi-directional volatility spillover,while the volatility spillover between Chinese stock market and other BRIC countries is the lowest.It means that there is a certain degree of market segmentation phenomenon in Chinese stock market.