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COVID-19, Stock Market, Exchange Rate, Oil Prices, Unemployment, Inflation, Geopolitical Risk Nexus, the Case of the BRICS Nations: Evidence Quantile Regression

COVID-19, Stock Market, Exchange Rate, Oil Prices, Unemployment, Inflation, Geopolitical Risk Nexus, the Case of the BRICS Nations: Evidence Quantile Regression
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Author(s): Sudeshna Ghosh (Scottish Church College, India)
Copyright: 2023
Pages: 20
Source title: Research Anthology on Macroeconomics and the Achievement of Global Stability
Source Author(s)/Editor(s): Information Resources Management Association (USA)
DOI: 10.4018/978-1-6684-7460-0.ch095

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Abstract

This chapter attempts to study the impact of the COVID-19 pandemic on the stock markets of the BRICS nations. Such an exercise will have an important bearing on portfolio allocation in the context of the BRICS. The major contribution of the chapter in the extant literature is to examine based on the multifactor model of the capital asset pricing theory, how uncertainty owing to the pandemic interplay with the geopolitical index to impact the stock market of the BRICS. Further, the major macroeconomic factors are used as control variables. The daily observations were used from 31 December 2019 to 30 December 2020. The results based on the quantile regression model demonstrate the asymmetric response of the stock market to the pandemic. The policy implication that follows from this study is the need for strategic intervention of the central bank to ease the liquidity challenges in the crisis period.

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