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Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict

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  • Zhang, Yi
  • Zhou, Long
  • Liu, Zhidong
  • Wu, Baoxiu

Abstract

This study examines volatility contagion between the US and five BRICS stock markets during the COVID-19 pandemic and the Russo-Ukrainian crisis. We first use the Markov-switching dynamic regression method to endogenously identify various phases of market evolution. Then, we employ a dynamic conditional correlation process to uncover time-varying volatility spillovers relying on the implied volatility induced by daily changes in the investigated markets. Empirical results indicate that market spillover during the two crises presents quite different scenarios. The US has a more significant and persistent contagion effect on the BRICS markets during COVID-19. However, only a short-lived and pulse-like market response is detected in the initial stage of the Russo-Ukrainian crisis, and the volatility interdependency structures do not follow a specific pattern across all implied volatility pairs.

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  • Zhang, Yi & Zhou, Long & Liu, Zhidong & Wu, Baoxiu, 2025. "Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
    • Handle: RePEc:eee:ecofin:v:75:y:2025:i:pa:s106294082400233x
    DOI: 10.1016/j.najef.2024.102308
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    More about this item

    Keywords

    Market spillovers; Implied volatility index; BRICS; COVID-19 crisis; Russo-Ukrainian crisis;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G19 - Financial Economics - - General Financial Markets - - - Other

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