2022
DOI: 10.1177/00194662221082188
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Abstract: The study investigates long-run and short-run cointegrating relationship between stock market returns, fear index (VIX), brent crude oil prices and growth in deaths due to the COVID-19 pandemic for BRIC countries using daily data from 23 January 2020 to 24 August 2020 using Autoregressive Distributed Lag (ARDL) model. CUSUM test and serial correlation test estimates point towards the robustness of the model used. The evidence reveals that for India and Brazil, with the outbreak of COVID-19, decrease in crude o… Show more

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