Dynamic correlations and volatility spillovers between stock price and exchange rate in BRIICS economies: evidence from the COVID-19 outbreak period

Authors :: Karan Rai
Bhavesh Garg
Source :: Applied Economics Letters. 29:738-745
Publication Year :: 2021
Publisher :: Informa UK Limited, 2021.
Abstract: This paper examines the impact of COVID-19 pandemic on dynamic correlations and volatility spillovers between stock prices and exchange rates in BRIICS economies. Using volatility modelling, we dem...

Subjects :: Economics and Econometrics
2019-20 coronavirus outbreak
050208 finance
Coronavirus disease 2019 (COVID-19)
Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2)
05 social sciences
Stock price
Exchange rate
Economy
0502 economics and business
Economics
Stock market
050207 economics
Volatility (finance)
Stock (geology)

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