Перетоки волатильности между фондовыми рынками БРИК и Южной Африки: на примерах кризиса COVID‑19 и российско‑украинского конфликта

Целью данного исследования была оценка влияния глобальных кризисов на перетоки волатильности между фондовыми рынками стран БРИК (Бразилия, Россия, Индия, Китай) и Южно-Африканской Республики (ЮАР). При проведении исследования использовались методы обобщенной авторегрессии с условной гетероскедастичностью (GARCH) и подход Дибольда-Йилмаза с векторной авторегрессией с переменными во времени параметрами (TVP-VAR), основанные на периоде выборки, сегментированном на фазы докризисного периода, COVID-19 и российско-украинского конфликта. Результаты исследования показали, что перетоки волатильности усилились во время пандемии COVID-19 из-за экономических потрясений и неопределенности, в то время как российско-украинский конфликт сократил перетоки из-за геополитической изоляции и неприятия риска. Южная Африка неизменно оказывалась ключевым передатчиком волатильности, особенно во время кризисов. Выводы исследования свидетельствуют о том, что мировые кризисы оказывают неодинаковое влияние на передачу волатильности и, следовательно, должны рассматриваться по-разному. Ключевой вклад работы заключается в улучшении понимания рыночной интеграции, вызванной кризисом, что дает ценные знания для управления рисками и разработки политики во взаимосвязанных финансовых системах.

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