Published Online:July 2026
Product Name:The IUP Journal of Accounting Research & Audit Practices
Product Type:Article
Product Code:IJARAP060726
DOI:10.71329/IUPJARAP/2026.25.3.106-122
Author Name:Satish Kumar, Neevia Thalyari and Vishal Kaushal
Availability:YES
Subject/Domain:Finance
Download Format:PDF
Pages:106-122
The paper investigates stock market dynamics by examining mean reversion and volatility transmission between BRICS economies and four advanced Western nations. The analysis employs GARCH model to estimate volatility persistence, half-life method to measure the speed of mean reversion, and DCC-GARCH model to capture time-varying volatility spillovers. The empirical findings reveal significant heterogeneity across markets. Canada exhibits weak mean reversion alongside high volatility persistence, indicating prolonged market instability, whereas the UK demonstrates the fastest mean reversion with comparatively lower volatility. Furthermore, the results indicate the strong bidirectional long-term volatility spillovers between BRICS and four advanced Western nations, highlighting deep financial integration and interdependence. In contrast, short-term spillovers are relatively limited, suggesting that immediate shock transmission is less pronounced. These findings emphasize the complex structure of global financial linkages and provide important implications for portfolio diversification, risk management, and policy formulation in an increasingly globalized financial system.
In the contemporary era of global integration, the stock market serves as a pivotal component of the financial system, facilitating capital exchange, mirroring economic trends, and fostering growth. Capital flows across borders with unprecedented ease, reflecting a new era of interconnectedness.