financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2023-27-2-87-98finance-2081Research ArticleМЕЖДУНАРОДНЫЕ ФИНАНСЫINTERNATIONAL FINANCEВолатильность доходности инвестиций на фондовом рынке в странах БРИКСVolatility of Returns in Stock Market Investments: A Study of BRICS Nationshttps://orcid.org/0000-0002-9854-8175ПанкунниН.PankunniN.

Наташа Панкунни - доцент, кафедра коммерции и менеджмента

Малаппурам, штат Керала

Natasha Pankunni - Assis. Prof., Department of Commerce and Management Studies, School of Business Studies

Malappuram, Kerala

natashapankunni@gmail.comhttps://orcid.org/0000-0003-0348-3207Раджитха КумарС.Rajitha KumarS.

С. Раджитха Кумар - PhD, профессор, Школа исследований в области управления

Кочи, штат Керала

S. Rajitha Kumar - PhD, Prof., School of Management Studies

Kochi, Kerala

rajithakumar@cusat.ac.inУниверситет КаликутаИндияUniversity of CalicutIndiaКочинский университет науки и технологииИндияCochin University of Science and TechnologyIndia2023300420232728798Copyright © Панкунни Н., Раджитха Кумар С., 20232023Панкунни Н., Раджитха Кумар С.Pankunni N., Rajitha Kumar S.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/2081

Колебания доходности от инвестиций в акции (волатильность) делают эти инвестиции рискованными. Этот фактор необходимо учитывать при принятии решений об инвестировании в акции, что определяет актуальность настоящего исследования. Цель исследования - путем анализа волатильности доходности акций стран БРИКС определить наличие рискованности инвестиций в соответствующие страны. Авторы собрали и проанализировали ежедневные доходы пяти индексов, представляющих каждую из стран: Ibovespa (Бразилия), Moex (Россия), Nifty 50 (Индия), Hang Seng Index (HSI, Китай) и FTSE/JSE All Share Index (JALSH, Южная Африка) за период в 14 лет. Для каждой из стран изучена как безусловная, так и условная волатильность доходности от инвестиций в акции, что позволяет получить более четкую и полную картину. Такой глубокий и долгосрочный анализ волатильности доходности развивающихся экономик БРИКС составляет новизну исследования, определившего, что ни одна модель волатильности не может быть признана идеальной для всех экономик. Для изучения доходности всех пяти индексов была применена модель GARCH (1, 1). Результаты исследования указывают на то, что дневные доходности всех изученных индексов гетероскедастичны, что означает наличие различной дисперсии. Сделан вывод, что доходность индексов стран БРИКС отличается высокой волатильностью, в связи чем авторы рекомендуют инвесторам вкладывать средства в индексы с меньшей условной волатильностью.

Fluctuations in returns from investment in stocks make these risky. This factor should be kept in mind in stock investment decisions, which determines the relevance of this research. Through the study, the volatility in the stock returns of BRICS nations is analysed for inferring on the riskiness associated with investing in the respective nations, which is the aim of the research. For this study, the daily returns of five indexes representing each of the nation namely Ibovespa (Brazil), Moex (Russia), Nifty 50 (India), Hang Seng Index (HSI, China), and FTSE/JSE All Share Index (JALSH, South Africa) for a period of 14 years are collected and analysed. Both unconditional and conditional volatility in returns is analysed for each of the nations for imparting clearer and more comprehensive picture of the volatility in returns. Such an in-depth and long period analysis of volatility of the returns of the emerging BRICS economies is a novelty of the research that determined that no volatility model can be said as perfect for all economies for all time. The GARCH (1, 1) model was used to study for the returns of all the five indexes. The results of the study point out that the daily returns of all these indexes are heteroscedastic, implying presence of varying variance. Accordingly, the study м that the BRICS nations’ index returns are more volatile and riskier, and authors are recommended to invest in those indexes with lesser conditional volatility.

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The authors declare that there are no conflicts of interest present.