Stock market integration, risk and spillovers across BRICS Nations: An assessment during Covid-19
By: Das, Nupur Moni Rout, Bhabani Sankar and Bal, Gnyana Ranjan
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Material type: 
BookPublisher: Management and Labour Studies Description: 50(3), Aug, 2025: p.337-356.Subject(s): Covid-19, Stock market, Market, risk, Value at risk, Volatility spillover, Hedging
In:
Management and Labour StudiesSummary: 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.- Reproduced
https://journals.sagepub.com/doi/full/10.1177/0258042X251320797
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Articles
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Indian Institute of Public Administration | 50(3), Aug, 2025: p.337-356 | Available | AR137476 |
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.- Reproduced
https://journals.sagepub.com/doi/full/10.1177/0258042X251320797
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