EconPapers    
Economics at your fingertips  
 

17 Months of the Pandemic: A Study of the Stress Spillover Among the BRICS Countries During COVID-19

Mohit Kumar and Arushi Gupta

Vision, 2025, vol. 29, issue 4, 455-464

Abstract: This study examines the stress spillover of the stock market, bond market and exchange market among the BRICS countries during the COVID-19 pandemic. Following the principal component analysis approach, a composite stress index is developed for each country to measure the stress level in BRICS. We use the dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH) approach to investigate the dynamic connectedness among the countries. While the stress in the stock market and exchange market is measured by their respective volatility, the bond market fluctuation is examined by using the yield spreads between the 10-year government bonds yield of BRICS countries and 10-year government bond yield of the United States. The study finds that among all the BRICS countries, India and China have been major transmitters as well as receivers of the stress spillover. The findings of our study contribute to the literature by highlighting the importance of understanding the behaviour and interconnectedness of the economies in a group. The study also provides valuable insights to policymakers who need to be more vigilant about the financial crisis and spillover among the countries.

Keywords: COVID-19; Spillover; PCA; DCC-GARCH; Stress Index; BRICS (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/09722629221074900 (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:vision:v:29:y:2025:i:4:p:455-464

DOI: 10.1177/09722629221074900

Access Statistics for this article

More articles in Vision
Bibliographic data for series maintained by SAGE Publications ().

 
Page updated 2025-07-04
Handle: RePEc:sae:vision:v:29:y:2025:i:4:p:455-464