PT - JOURNAL ARTICLE AU - Parneet Kaur AU - Amanjot Singh TI - Investigating the Leverage Effect and Volatility in the BRIC Countries’ Equity Markets After the U.S. Financial Crisis AID - 10.3905/jwm.2015.17.4.093 DP - 2015 Jan 31 TA - The Journal of Wealth Management PG - 93--100 VI - 17 IP - 4 4099 - https://pm-research.com/content/17/4/93.short 4100 - https://pm-research.com/content/17/4/93.full AB - The BRIC universe, which includes Brazil, Russia, India, and China, represents one of the most promising emerging market equity composites. This study examines the existence of a leverage effect and time-varying risk parameters in relation to the BRIC countries’ stock market returns by employing GARCH, TGARCH-M, and EGARCH-M models. The period of study runs from July 2009 to June 2014 and assesses the existence of a leverage impact of a negative shock on the conditional variance, as compared to a positive shock in each of the BRIC countries. A global investor should discount and understand the volatility behavior as well as the business environment of the investee country as it changes over time.TOPICS: Security analysis and valuation, emerging, statistical methods, performance measurement