PT  - JOURNAL ARTICLE
AU  - Amanjot Singh
TI  - Bayesian Dynamic Interactions and Predictions: <em>U.S., BRIC, and Frontier Equity Markets</em>
AID  - 10.3905/jwm.2018.20.4.096
DP  - 2018 Jan 31
TA  - The Journal of Wealth Management
PG  - 96--109
VI  - 20
IP  - 4
4099  - https://pm-research.com/content/20/4/96.short
4100  - https://pm-research.com/content/20/4/96.full
AB  - This study attempts to highlight short-run dynamic interactions (return spillover effects) and predictions among the U.S. and other developing economies, that is, BRIC and frontier equity markets, by employing a Bayesian VAR framework along with its branches. The findings report the existence of spillover effects among the equity markets, whereby the contribution of the U.S. equity market in explaining forecasted error variances increases over a period of time in the BRIC and frontier equity markets. Considerable cross-market variance effects are recorded among the U.S., BRIC, and frontier equity markets. The out-of-sample forecasted values point toward optimism in the markets in the coming one year. All these findings have strong implications for market participants regarding portfolio management and asset allocation decisions.TOPICS: Global, big data/machine learning, VAR and use of alternative risk measures of trading risk, portfolio construction