Stock Market Integration, Risk and Spillovers Across BRICS Nations: An Assessment During COVID-19

Nupur Moni Das, Bhabani Sankar Rout and Gnyana Ranjan Bal

Management and Labour Studies, 2025, vol. 50, issue 3, 337-356

Abstract: The present study aims to examine the downside risk, volatility persistence, market connectedness and hedging strategies in Brazil, Russia, India, China and South Africa (BRICS) markets during the COVID-19 period, comparing these factors with the Asian Financial Crisis and Global Financial Crisis. Using value-at-risk, dynamic conditional correlation generalized autoregressive conditional heteroskedasticity and the Diebold–Yilmaz Spillover Index, the study addresses key research objectives. It is observed that volatility created persists longer, and market connectivity increases during crises. Notably, Russia and Brazil are observed to be the net spreaders of volatility, while India, China and South Africa demonstrate opposite trends. Moreover, very limited diversification benefits exist in the bloc.

Keywords: COVID-19; stock market; market risk; value-at-risk; volatility spillover; hedging (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0258042X251320797 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:manlab:v:50:y:2025:i:3:p:337-356

DOI: 10.1177/0258042X251320797

Access Statistics for this article

More articles in Management and Labour Studies from XLRI Jamshedpur, School of Business Management & Human Resources
Bibliographic data for series maintained by SAGE Publications ().