Understanding the Impact of COVID-19 on the Volatility Dynamism of Brics Stock Market

Meena Sharma and Sunita
Additional contact information
Meena Sharma: University Business School, Panjab University Chandigarh
Sunita: Research Scholar (SRF), University Institute of Applied Management Sciences, Panjab University Chandigarh

Acta Universitatis Bohemiae Meridionalis, 2022, vol. 25, issue 2, 175-186

Abstract: The current study is aimed at examining the impact of COVID-19 on the volatility of stock market returns in the BRICS economies known as trading partners. Due to the pandemic situation all over the world, it had influence on the working of the stock markets as the investors were vigilant of their investment position. Since the World Bank declared the first confirmed case of covid-19 on 31st December 2019, hence the daily data of the stock indices of the each of the BRICS economies has been fetch ranging from 1st January 2020 to 31st march2021. The impact of Covid-19 has been studied by taking the number of daily Covid-19 cases in the respective economies. The study employed GARCH family of models such as GARCH(1,1), EGARCH(1,1) and MGARCH(1,1) in order to understand the nature and dynamics of volatility of the stock markets of BRICS economies so that investors can make decisions regarding portfolio management while investing in such economies acting as global trading partners. The study found that except China and South Africa, the rising number of cases has significant impact on BRICS economies volatility. The level of persistence is found to be high, revealing that it takes time to volatility to wipe out from the market, indicating that the BRICS stock market remained volatile for a longer period of time due to the arrival of Covid news.

Keywords: Volatility; Covid -19; Risk and return; BRICS economies (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://acta.ef.jcu.cz/doi/10.32725/acta.2022.017.html (text/html)
http://acta.ef.jcu.cz/doi/10.32725/acta.2022.017.pdf (application/pdf)
free of charge

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:boh:actaub:v:25:y:2022:i:2:p:175-186

DOI: 10.32725/acta.2022.017

Access Statistics for this article

Acta Universitatis Bohemiae Meridionalis is currently edited by Tereza Šťástková

More articles in Acta Universitatis Bohemiae Meridionalis from University of South Bohemia in Ceske Budejovice, Faculty of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Ivo Andrle ().