Risk spillovers between China and other BRICS countries during COVID-19 pandemic: A CoVaR-copula approach

نویسندگان

چکیده

Abstract This paper aims to assess risk spillover effect between China and other BRICS countries by CoVaR-copula method. We analyse the result of ΔCoVaR in two sub-periods–year 2019 COVID-19 period. Data for stock prices major market each country are used. Our results show that from increased during epidemic. Meanwhile, pandemic enhanced co-movement four countries. Under shock countries, stayed strong. By contrast, markets Brazil, India South Africa vulnerable. The accuracy approach measurement.

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ژورنال

عنوان ژورنال: Journal of physics

سال: 2021

ISSN: ['0022-3700', '1747-3721', '0368-3508', '1747-3713']

DOI: https://doi.org/10.1088/1742-6596/1978/1/012043