| In behalf of new emerging economic entities, BRICS countries aremaking an important role in the world economy. However, along with theglobal economic and financial integration, stock markets of BRICS countriesshock severely and frequently, which are the facts that are generally know andbeyond controversy. Stock markets of BRICS countries are developing alongwith the countries’ development. During the developing, regular volatility ofstock markets is caused due to the changes of economy systems. On one hand,this volatility increases uncertainties and risks in markets; on the other hand,it reflects specific regularity of the changes of economy systems in BRICScountries and it is featured in new emerging economic entities. Based on theabove reasons, it is conducive to investigators to understand applyingmethods of modern econometrics in analyzing market behaviors, features, riskmechanism and operational mechanism of developing stock markets,providing researching data for improving stock markets and connecting toglobal finance market for each country. Five chapters are included. The first chapter is introduction, proposingthe research background, practical significance, researching ideas, methodsand references of this article. The second chapter analyzes the Wave Principalof rate of return of stock markets. Elaborate the meaning of the rate of return,measuring the wave of the rate of return and the features respectively. Thethird chapter contains the origin of econometric models and explanations ofsample data, mainly talking about the key theory and pattern of ARCH modelalong with explanation of the example part. The forth chapter carries on theempirical testing on the wave of the rate of return of stock markets in BRICScounties, including statistical analysis (Normal testing, Stationary testing, andAutocorrelation testing) on features of sample data. GARCH model and theAsymmetric effect testing are carried on latterly and results are summarized.The last chapter is the review and suggestions. |
