Research from National Research University Higher School of Economics Broadens Understanding of Risk Management (BRICS Capital Markets Co-Movement Analysis and Forecasting): Insurance – Risk Management

2022 JUN 09 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Research findings on risk management are discussed in a new report. According to news reporting originating from National Research University Higher School of Economics by NewsRx correspondents, research stated, “The present study analyses BRICS (Brazil, Russia, India, China, South Africa) capital markets in both time and frequency domain using wavelets. We used artificial neural network techniques to forecast the co-movement among BRICS capital markets.”

Financial supporters for this research include Russian Science Foundation.

The news journalists obtained a quote from the research from National Research University Higher School of Economics: “Wavelet coherence and clustering estimates uncover the interesting dynamics among the BRICS capital markets co-movement. A wavelet coherence diagram shows a clear contagion effect among BRICS nations, and it favors short period investments over longer period investments. Overall study estimates indicate that co-movement among BRICS nations significantly differs statistically at different levels. Except for China during the great financial crisis period, significant levels of co-movement were observed between other BRICS nations and that lasted for a longer period of time. A wavelet clustering diagram demonstrates that investors would not get any substantial benefits of diversification by investing only in the ‘Russia and China’ or ‘India and South Africa’ capital markets. Lastly, the study attempts to forecast the BRICS capital market co-movement using two different types of neural networks.”

According to the news reporters, the research concluded: “Further, RMSE (Root Mean Square Error) values confirm the correctness of the forecasting model. The present study answers the key question, ‘What kind of integration and globalization framework do we need for sustainable development?’.”

For more information on this research see: BRICS Capital Markets Co-Movement Analysis and Forecasting. Risks, 2022,10(88):88. (Risks - http://www.mdpi.com/journal/risks). The publisher for Risks is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/risks10050088.

Our news editors report that additional information may be obtained by contacting Moinak Maiti, Department of Finance, National Research University Higher School of Economics, 194100 Saint Petersburg, Russia. Additional authors for this research include Darko Vukovic, Yaroslav Vyklyuk, Zoran Grubisic.

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