Abstract
Financial contagion is a contemporary phenomenon which has put a question mark on cross-border diversification of funds. This problem has crept in, in the connivance of growth and liberalization of capital market. It has become practically impossible to quarantine any market from the rest. This study proposes to test empirically the Volatility Spillover Effect in the stock markets of Brazil, Russia, India and China (BRICs) owing to USA and UK stock markets using univariate EGARCH model.
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