THE IMPACT of COVID-19 on the VOLATILITY of BRICS STOCK RETURNS

Abstract

This study analyzes for the first time the impact of the novel coronavirus known as COVID-19 on stock market volatility for the BRICS countries (Brazil, Russia, India, China, and South Africa) using the GJR-GARCH model. We find that during the coronavirus period, Brazil, India, and South Africa exhibit very high volatility, with negative returns exceeding those faced by these indices during the 2008 financial crisis. On the other hand, the Russian and Chinese indices are shown to have faced greater volatility during the 2008 crisis than they have so far exhibited due to coronavirus. Furthermore, the results of the GJR-GARCH models show that COVID-19 variable has a significant positive impact on stock market volatility for Brazil, India, China, and South Africa but an insignificant impact for Russia. Moreover, of these nations, Brazil has thus far been most heavily affected by the virus, followed by South Africa, China, and India