Risk spillovers between China and other BRICS countries during COVID-19 pandemic: A CoVaR-copula approach

Abstract

This paper aims to assess risk spillover effect between China and other BRICS countries by CoVaR-copula method. We analyse the result of ΔCoVaR in two sub-periods-year 2019 and COVID-19 period. Data for stock prices of major stock market in each country are used. Our results show that risk spillover effect from China to other BRICS countries increased during the epidemic. Meanwhile, COVID-19 pandemic enhanced the co-movement between China and other four countries. Under the shock from other countries, stock market in China stayed strong. By contrast, stock markets in Brazil, India and South Africa are vulnerable. The results show the accuracy of CoVaR-copula approach for risk spillover effect measurement.