Crises and Stock Market Integration: Evidence from BRICS Countries

Ritu Suri; Sucheta Gauba; A Porchelvi Chandran

doi:10.48001/jbmis.1102002

Authors

Ritu Suri Lakshmibai College, University of Delhi, Delhi https://orcid.org/0009-0007-7648-977X
Sucheta Gauba Lakshmibai College, University of Delhi, Delhi https://orcid.org/0000-0001-5185-3503
A Porchelvi Chandran Lakshmibai College, University of Delhi, Delhi https://orcid.org/0009-0004-7196-9414

DOI:

https://doi.org/10.48001/jbmis.1102002

Keywords:

Stock Market, volatility, BRICS, Financial markets, Econometric analysis

Abstract

This paper examines the stock market integration in BRICS (a group of Brazil, Russia, India, China and South Africa) countries and explores the effect of two major events; COVID-19 and Russia-Ukraine war on the stock market linkages of these countries. The study is based on weekly observations of BSE SENSEX (India), Bovespa Index (Brazil), MOEX Index (Russia), Shanghai Composite Index (China), and JSE All Share Index (South Africa) collected from Yahoo Finance and Wallstreet Journal from January 2016 to December 2023. We utilize multivariate DCC GARCH (dynamic conditional correlation) model to discern the time varying conditional correlations (TVCCs) between these equity markets. Thereafter, these TVCCs are regressed on the dummy variables to capture the existence of contagion effects among the stock markets of BRICS countries during these major events. The findings of this study indicate the existence of co-movement in the stock markets prices of BRICS countries during the sample period. We find existence of significant contagion effects among the BRICS countries during the COVID period. Results show a significant downfall in the TVCCs between BRICS stock market returns following the beginning of Russia - Ukraine war.

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Crises and Stock Market Integration: Evidence from BRICS Countries

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