Dividends and volatilities: Spillover and second order foreign exchange and financial causality
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Abstract
Examining daily stock returns, the dollar exchange rate, and the Ibovespa index from 2010 to 2020, this study analyzes spillovers of Brazilian stock market volatility, using conditional correlations. Representative returns constructed via either traditional or robust principal component analysis proved superior to those from dynamic principal component analysis. For model estimation, the diagonal BEKK multivariate GARCH model proved to be a better fit than the BEKK multivariate GARCH model. The existence and direction of volatility spillover effects were analyzed by second order Granger causality, with an CN test, which indicated a lead-lag effect.
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How to Cite
Maranhão, A. N., & Moreira, G. C. C. (2021). Dividends and volatilities: Spillover and second order foreign exchange and financial causality. Brazilian Review of Finance, 19(4), 28–85. https://doi.org/10.12660/rbfin.v19n4.2021.82227
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Long Paper
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