Market Volatility and Causal Relationship among BRICS Stock Markets

This study examines the stock market volatility and causal connection among BRICS stock markets. This research uses data from November 18, 2019 to February 1, 2021. This study employed descriptive statistics, correlation analysis, ADF unit-root tests, GARCH models, and the VECM test. The JarqueBera statistics’ likelihood shows that certain stock markets are not regularly distributed. During the outbreak of COVID-19 pandemic, correlation studies revealed that all BRICS stock markets were favourably associated with one another. The GARCH test results substantiates that the selected stock markets were extremely volatile throughout the research period other than South Africa stock market. The research also indicates that the BRICS markets have no leverage impact. The findings of the VECM tests divulge that while there is no noteworthy long-term causality among BRICS stock market, however, there exist a short-run causality between, other than Brazilian stock market.