The Nexus of Stock Markets Among BRICS Nations : An Empirical Analysis Pre and Post Spread of the COVID-19 Pandemic

Q2 Economics, Econometrics and Finance Indian Journal of Finance Pub Date : 2022-10-01 DOI:10.17010/ijf/2022/v16i10/172386

Razia Nagina

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Abstract

The present corroborations from the empirical literature on the interconnections of BRICS stock markets have been conflicted. Thus, the present paper attempted to re-examine both the long and short-run nexus among BRICS stock markets before and after the COVID-19 pandemic. The current study period was segregated into two sub-periods to compare long and short-run dynamics among BRICS stock indices pre and through the times of distress and the exorbitant volatility caused by the COVID-19 pandemic. It used daily closing values of the BRICS stock market indices from January 1, 2010 to November 30, 2019 as the pre-spread COVID-19 pandemic phase and from December 1, 2019 to April 30, 2021, the post-spread COVID-19 pandemic phase. Furthermore, this study undertook the Johansen cointegration test, vector error correction model (VECM), and the Granger causality tests to examine the long and short-term nexus of the BRICS stock indices. The study findings suggested that BRICS stock markets shared linkages in totally different manners pre-and post-spread of the COVID-19 pandemic. The study findings will benefit institutional investors, individual investors, high net worth individuals, and public investors for finalizing their investment and hedging strategies for availing the opportunities of diversifying investment risk and earning high returns due to existing relations among the BRICS stock markets. © 2022, Associated Management Consultants Pvt. Ltd.. All rights reserved.

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金砖国家股票市场的关联：新冠肺炎疫情前后的实证分析

关于金砖国家股票市场相互联系的实证文献中的现有证据存在冲突。因此，本文试图重新审视新冠肺炎疫情前后金砖国家股市之间的长期和短期关系。目前的研究期分为两个子周期，以比较新冠肺炎疫情造成的困境和极度波动之前和期间金砖国家股指的长期和短期动态。它使用了2010年1月1日至2019年11月30日金砖国家股市指数的每日收盘值作为新冠肺炎大流行前阶段，以及2019年12月1日到2021年4月30日新冠肺炎大流行后阶段。此外，本研究采用Johansen协整检验、向量误差校正模型（VECM）和Granger因果关系检验来检验金砖国家股指的长期和短期关系。研究结果表明，在新冠肺炎大流行之前和之后，金砖国家股市以完全不同的方式共享联系。研究结果将有利于机构投资者、个人投资者、高净值个人和公众投资者最终确定投资和对冲策略，以利用金砖国家股市之间现有关系分散投资风险和赚取高回报的机会。©2022，Associated Management Consultants Pvt.有限公司。保留所有权利。

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来源期刊

Indian Journal of Finance Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

1.50

自引率

0.00%

发文量

期刊介绍： a source of sophisticated analysis of developments in the rapidly expanding world of finance, is a double blind peer reviewed refereed monthly journal that publishes articles on a wide variety of topics ranging from corporate to personal finance, insurance to financial economics, and derivatives. It provides a forum for exchange of ideas and techniques among academicians and practitioners and thereby, advances applied research in financial management. The journal, with its mission to promote thinking on various facets of finance, is targeted at academicians, scholars, and professionals associated with the field of finance to promote pragmatic research by disseminating the results of research in finance, accounting, financial economics, and sub - areas such as theory and analysis of fiscal markets and instruments, financial derivatives research, insurance, portfolio selection, credit and market risk, statistical and empirical financial studies based on advanced stochastic methods, financial instruments for risk management, uncertainty, and information in relation to finance.