Temporal Dynamics of BRIC-A and US Stock Indices: Pre-, During-, and Post-Pandemic Analysis
DOI:
https://doi.org/10.62486/agma2025315Keywords:
COVID-19, Johansen Cointegration, Granger Causality, BRIC-A, Financial Market Integration, Systemic ShocksAbstract
Introduction: Global financial markets exhibit varying degrees of interdependence, which can shift during systemic disruptions such as the COVID-19 pandemic. Understanding these dynamics is crucial for investors, policymakers, and risk managers.
Objectives: To examine the evolving interdependence between the US stock market and BRIC-A stock markets (Brazil, Russia, India, China, and South Africa) across three distinct periods: pre-pandemic, pandemic, and post-pandemic.
Methods: The Johansen cointegration framework was used to test for the presence and stability of long-run relationships, and the Granger causality test identified short-run directional linkages among the markets during the three phases.
Results: The analysis revealed that the long-run equilibrium between the US and Indian markets remained stable throughout, while structural shifts were observed in the relationships with China and Russia, indicating heterogeneous market responses to systemic shocks. In the short run, bidirectional linkages between the US and all BRIC-A markets existed before the pandemic; however, post-pandemic, these persisted only with India’s BSE and China’s SSE indices.
Conclusions: Global crises can recalibrate financial market integration, reducing linkages among major markets and reshaping interdependencies. These findings have significant implications for portfolio diversification strategies, contagion risk management, and international policy coordination during periods of systemic disruption.
References
Shiller RJ. Market volatility. Cambridge (MA): MIT Press; 1989.
Corsetti G, Pesenti P, Roubini N. What caused the Asian currency and financial crisis? (Quantitative analysis of East Asia’s crises). 1999. DOI: https://doi.org/10.3386/w6833
Mishkin FS. Lessons from the Asian crisis. J Int Money Finance. 1999;18(4):709–23. doi:10.1016/S0261-5606(99)00020-0 DOI: https://doi.org/10.1016/S0261-5606(99)00020-0
Gorton G. Slapped in the face by the invisible hand: Banking and the panic of 2007 [Working paper]. SSRN. 2009. doi:10.2139/ssrn.1401882 DOI: https://doi.org/10.2139/ssrn.1401882
Lane C. The tranquilizer trap. Psychology Today. 2012 Oct 18.
Albulescu CT. COVID-19 and the United States financial markets’ volatility. Finance Res Lett. 2021;38:101699. doi:10.1016/j.frl.2020.101699 DOI: https://doi.org/10.1016/j.frl.2020.101699
Yi G, Li P, Li A. Tail risk contagion between international financial markets during COVID-19 pandemic. Int Rev Financ Anal. 2021;73:101649. doi:10.1016/j.irfa.2020.101649 DOI: https://doi.org/10.1016/j.irfa.2020.101649
Markowitz H. Portfolio selection. J Finance. 1952;7(1):77–91. doi:10.2307/2975974 DOI: https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Bouri E, Jain A, Roubaud D, Kristoufek L. Bitcoin’s medium- and long-term dependence on the US stock market. Finance Res Lett. 2018;26:106–113.
Hoque H. Co-movement of Bangladesh stock market with other markets. Manag Finance. 2007;33(10):810–20. doi:10.1108/03074350710779250 DOI: https://doi.org/10.1108/03074350710779250
Malik AA, Hussain H, Maniar R, Safdar N, Mohiuddin A, Riaz N, et al. Integrated tuberculosis and COVID-19 activities in Karachi and tuberculosis case notifications. Trop Med Infect Dis. 2022;7(5):63. doi:10.3390/tropicalmed7050063 DOI: https://doi.org/10.3390/tropicalmed7050063
Kumar M, Gupta A. 17 months of the pandemic: A study of the stress spillover among the BRICS countries during COVID-19. Vision. 2025;29(4):455–64. doi:10.1177/09722629221074900 DOI: https://doi.org/10.1177/09722629221074900
Jareño F, Escribano A, Umar Z. The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure. Humanit Soc Sci Commun. 2023;10(1):4. doi:10.1057/s41599-022-01500-1 DOI: https://doi.org/10.1057/s41599-022-01500-1
Agyei SK, Owusu Junior P, Bossman A, Asafo-Adjei E, Asiamah O, Adam AM. Spillovers and contagion between BRIC and G7 markets: New evidence from time-frequency analysis. PLOS ONE. 2022;17(7):e0271088. doi:10.1371/journal.pone.0271088 DOI: https://doi.org/10.1371/journal.pone.0271088
Campbell JY, Lo AW, MacKinlay AC. The econometrics of financial markets. Princeton: Princeton University Press; 1997. DOI: https://doi.org/10.1515/9781400830213
Jeon BN, von Furstenberg GM. Growing international co-movement in stock price indexes. Q Rev Econ Bus. 1990;30(3):15–30.
Chopra M, Mehta C. Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis. J Asian Econ. 2022;79:101450. doi:10.1016/j.asieco.2022.101450 DOI: https://doi.org/10.1016/j.asieco.2022.101450
Zhang D, Hu M, Ji Q. Financial markets under the global pandemic of COVID-19. Finance Res Lett. 2021;36:101528. DOI: https://doi.org/10.1016/j.frl.2020.101528
Narayan PK, Mishra S, Narayan S. Do market capitalization and stocks traded converge? New global evidence. J Bank Finance. 2014;39:143–58.
Singh B, Sharma R, Pathak R. Dynamics of India–US stock market integration during COVID-19. Glob Bus Rev. 2021;22(6):1391–405.
Kinateder H, Papavassiliou VG. Stock market co-movements and spillovers during COVID-19: Evidence from BRICS and G7. Int Rev Financ Anal. 2022;80:102041.
Ali S, Butt BZ, Rehman KU. Comovement between emerging and developed stock markets: An investigation through cointegration analysis. World Appl Sci J. 2011;12:395–403.
Bhattacharjee A, Das J. Examining the nexus between Indian and U.S. stock market: A time series analysis. Econometric Modeling: International Economics eJournal. 2020.
Downloads
Published
Issue
Section
License
Copyright (c) 2025 M. Berchmans , S. Vasanthi Author, Justin John Stephen (Author)
This work is licensed under a Creative Commons Attribution 4.0 International License.
The article is distributed under the Creative Commons Attribution 4.0 License. Unless otherwise stated, associated published material is distributed under the same licence.
