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

Author

Listed:
  • Nupur Moni Das
  • Bhabani Sankar Rout
  • Gnyana Ranjan Bal

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.

Suggested Citation

  • Nupur Moni Das & Bhabani Sankar Rout & Gnyana Ranjan Bal, 2025. "Stock Market Integration, Risk and Spillovers Across BRICS Nations: An Assessment During COVID-19," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 50(3), pages 337-356, August.
    • Handle: RePEc:sae:manlab:v:50:y:2025:i:3:p:337-356
    DOI: 10.1177/0258042X251320797
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    References listed on IDEAS

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