Exchange rate and stock prices volatility connectedness and spillover during pandemic induced-crises: evidence from BRICS countries

DOI10.1007/S10690-023-09411-0MaRDI QIDQ6563707zbMATH OpenFDO

Authors Muntazir Hussain, Usman Bashir, Ramiz Ur Rehman

Publication date 27 June 2024

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10690-023-09411-0

zbMATH Keywords

exchange ratepandemicstock pricesvolatility connectednessvolatility spillover

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites work

• Directional spillover effects between BRICS stock markets and economic policy uncertainty
• Financial network connectedness and systemic risk during the COVID-19 pandemic
• Impulse response analysis in nonlinear multivariate models
• The dynamic volatility connectedness of major environmental, social, and governance (ESG) stock indices: evidence based on DCC-GARCH model

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