IDEAS home Printed from https://ideas.repec.org/a/boh/actaub/v25y2022i2p175-186.html
   My bibliography  Save this article

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

Author

Listed:
  • Meena Sharma

    (Panjab University Chandigarh, India)

  • Sunita

    (Panjab University Chandigarh, India)

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.

Suggested Citation

  • Meena Sharma & Sunita, 2022. "Understanding the Impact of COVID-19 on the Volatility Dynamism of Brics Stock Market," Acta Universitatis Bohemiae Meridionales, University of South Bohemia in Ceske Budejovice, vol. 25(2), pages 175-186.
    • Handle: RePEc:boh:actaub:v:25:y:2022:i:2:p:175-186
    DOI: 10.32725/acta.2022.017
    as

    Download full text from publisher

    File URL: https://doi.org/10.32725/acta.2022.017
    Download Restriction: no
    File URL: https://libkey.io/10.32725/acta.2022.017?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boh:actaub:v:25:y:2022:i:2:p:175-186. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tereza Šťástková (email available below). General contact details of provider: https://edirc.repec.org/data/efjcucz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.