Is the Impact of COVID-19 Significant in Determining Equity Market Integration? Insights from BRICS Economies

Abstract

This article examined the impact of the unanticipated outbreak of global public health crisis, COVID-19 pandemic, on the equity market performances and on the degree of integration of these markets in BRICS bloc. The empirical analyses lend support to the weakened equity market integration in the BRICS economies amid the pandemic, and the key driving forces include the rate of inflation, the real rate of interest, real exchange rate and composite leading indicator in the long-run, and trade performance and composite leading indicator in the short-run. The implications on the one hand, indicate increased opportunities for international portfolio diversification, and on the other hand, suggest for controlling the macroeconomic uncertainties of inflation, interest rate and exchange rate fluctuations during global health crisis to promote stable economic conditions for ensuring equity market integration in the long-run.

The contribution of macroprudential policies to banks' resilience: Lessons from the systemic crises and the COVID‐19 pandemic shock

“…The COVID-19 crisis variable has a positive effect with a substantial magnitude over banks' risk. This result is consistent with the scenario that marked the global financial markets at the onset of the pandemic, when there was a dramatic collapse in stock value (Ganie et al, 2022;Mishra & Mishra, 2022).…”

Exploring Volatility Spillover Dynamics between Emerging South Asian Stock Markets and the U.S. Market: Empirical Insights from the M-GARCH-BEKK Framework

“…These events not only impacted the U.S. and Asian markets but also propagated shocks to other markets on a global scale (Wang et al, 2005). More recently, the work of Mishra and Mishra (2022) delved into the examination of COVID-19's influence on stock market integration within the BRICS economies . Additionally, advancement in communication technologies have expedited swift information dissemination among these markets.…”

Global Financial Market Integration: A Literature Survey

“…Using the correlation matrices of the log-returns of a diversity of market indices during times of crisis showed markets move similarly during times of high volatility (see, for example, Junior and Franca 2012). More recently, at the event of COVID-19, researchers, for example, Mishra and Mishra (2022), examined the effects of equity market performance and integration on COVID-19 from the BRICS markets. Results showcase there were weaknesses in the BRICS economy; factors affecting it include the changed interest and inflation rates in the long run and trade performance in the short run.…”

“…Concurrently, equity market integration was developed over time in the era of globalisation, deregulation, and lower trade barriers. After the increasing growth of the economy, it also brought financial stability and promoted regulated policymaking (see, for example, Saâdaoui and Ghadhab 2020; Mishra and Mishra 2022;Robiyanto et al 2023). During times of crises, there is evidence of setbacks in economic growth, especially during the Asian financial crisis in 1997, the 2008 global financial crisis, and more recently, COVID-19 and the Russia-Ukraine war in 2022, contributing to changes in stock markets.…”