Understanding the Impact of COVID-19 on the Volatility Dynamism of Brics Stock Market
نویسندگان
چکیده
The current study is aimed at examining the impact of COVID-19 on volatility stock market returns in BRICS economies known as trading partners. Due to pandemic situation all over world, it had influence working markets investors were vigilant their investment position. Since World Bank declared first confirmed case covid-19 31st December 2019, hence daily data indices each has been fetch ranging from 1st January 2020 march2021. Covid-19 studied by taking number cases respective economies. employed GARCH family models such GARCH(1,1), EGARCH(1,1) and MGARCH(1,1) order understand nature dynamics so that can make decisions regarding portfolio management while investing acting global found except China South Africa, rising significant volatility. level persistence be high, revealing takes time wipe out market, indicating remained volatile for a longer period due arrival Covid news.
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ژورنال
عنوان ژورنال: Acta Universitatis Bohemiae Meridionales
سال: 2022
ISSN: ['2336-4297', '1212-3285']
DOI: https://doi.org/10.32725/acta.2022.017