Rui Dias – Escola Superior de Ciências Empresarias – Institute Polytechnic of Setúbal, Portugal & CEFAGE, University
of Évora, Portugal
Paula Heliodoro – Escola Superior de Ciências Empresarias – Institute Polytechnic of Setúbal, Portugal
Paulo Alexandre – Escola Superior de Ciências Empresarias – Institute Polytechnic of Setúbal, Portugal
Cristina Vasco – IEFP – Instituto do Emprego e Formação Profissional, Alcácer do Sal, Portugal
4th International Scientific Conference – EMAN 2020 – Economics and Management: How to Cope With Disrupted Times, Online/Virtual, September 3, 2020, CONFERENCE PROCEEDINGS published by: Association of Economists and Managers of the Balkans, Belgrade, Serbia; ISBN 978-86-80194-30-1, ISSN 2683-4510
The pandemic (Covid-19) has affected the global economy, and the impact on financial markets
seems inevitable. In view of these events, this essay aims to analyse the shocks between the stock
market indices of Brazil (BOVESPA), China (SSEC) India (SENSEX), Russia (IMOEX) and oil (WTC),
in the period from January 2, 2019 to May 29, 2020. In order to carry out this analysis, different approaches
were undertaken with a view to gauging whether (i) the global pandemic has accentuated the
shocks between the BRIC financial markets and the WTC? The daily yields do not have normal distributions,
show negative asymmetries, leptokurtic, and exhibit conditional heteroscedasticity. In general,
we find evidence that the WTC causes the markets of Russia and India, China does not cause any
market, and Brazil is not caused by any market analysed. On the other hand, short-term market shocks
are relevant and create some arbitrage opportunities. However, our study did not analyse anomalous
returns in these financial markets. These findings also open space for market regulators to take action
to ensure better information between international financial markets.
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