Exchange Rate and Stock Prices Volatility Connectedness and Spillover during Pandemic Induced-Crises: Evidence from BRICS Countries

This paper investigated exchange rate and stock price volatility connectedness spillover in Brazil, Russia, India, China, South Africa (BRICS) during pandemic-induced crises. We first extracted using the Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) model. Then were by (Diebold Yilmaz, International Journal of Forecasting, 28(1), 57–66, 2012) method. find that return volatilities are connected The study also finds among countries sample. Russia has strong with India these financial markets. direction is from to India. Similarly, Brazil Africa. Finally, China a weak connection remaining BRICS countries. Thus, transfer markets across economic implications.