DYNAMIC NETWORK CONNECTEDNESS OF BRICS EQUITY MARKETS DURING THE COVID-19 ERA

Abstract

This study examines the return and volatility network connectedness of BRICS and Turkey equity markets between January 2019 and March 2021 by utilizing the time varying parameter-VAR (TVP-VAR) based frequency connectedness approach of Barunik and Ellington (2020). In this context, we estimate short-, medium-, and longterm return and volatility network connectedness of BRICS and Turkey equity markets during an episode that covers the recent COVID-19 pandemic. Furthermore, the study focuses on the network structures of frequency return/volatility connectedness at a tranquil time (March 11, 2019) and at a turmoil time (March 11, 2020) to compare the magnitude of pairwise spillovers. Both dynamic total overall return and volatility connectedness indexes markedly surged aftermath the COVID-19 outbreak, and accordingly indicate the significant impact of the COVID-19 on the BRICS and Turkey equity markets connectedness. Network structures of dynamic return and volatility connectedness indicate remarkably amplified pairwise spillovers on March 11, 2020.