摘要：Abstract Both price discovery and volatility spillovers act as information transmission mechanisms across foreign boundaries. In this regard, the present study attempts to extend the findings reported by Singh and Kaur46 by considering pairwise volatility spillover effects among the US-BRIC equity markets and capturing the impact of overall US financial market conditions on pairwise volatility spillover effects across the years 2004–2014 by employing diverse econometric models. The results report bi-directional volatility spillover effects between the US-BRIC equity markets and significant impact of the US financial conditions on ex-ante probabilities for the existence of positive volatility spillovers from the US to Brazilian, Russian and Chinese equity markets only. With an improvement in the US financial condition, probability for the same reduces in the context of Brazilian and Russian equity markets, whereas, in case of the Chinese equity market, probability reduces but at a slower pace. The results bear strong implications for portfolio managers and policy makers and first of its kind.
