PRE AND POST COVID VOLATILITY SPILL-OVER EFFECTS OF BRICS STOCK MARKETS

Abstract

We examined the cointegration and volatility spill-over effects of stock markets of BRICS nations during pre and post COVID 19. We estimated the daily volatility of stock markets considering the open, close, high and low price during pre and post crisis. Cointegrated markets exhibit spill-over effects. Applying Johansen Cointegration, we found the stock markets of BRICS countries are cointegrated.  VECM is applied to decompose the variance and estimate the spill-over index. The study found there is significant volatility spill-over during pre and post COVID