Chiang, Shu-Mei; Chen, Hsin-Fu; Lin, Chi-Tai - In: Global Finance Journal 24 (2013) 1, pp. 30-43
In the aftermath of the sub-prime mortgage crisis, we set out to investigate the spillover effects of returns and volatility in the US stock market on the stock markets of Brazil, Russia, India, China and Vietnam (BRICVs). The results of our application of the ARJI (autoregressive conditional...
