Karadağ T., Gölbaşı Şimşek G.

7th International Researchers, Statisticians, and Young Statisticians Congress, İstanbul, Turkey, 2 - 05 November 2023, pp.69

  • Publication Type: Conference Paper / Summary Text
  • City: İstanbul
  • Country: Turkey
  • Page Numbers: pp.69
  • Yıldız Technical University Affiliated: Yes


In early 2020, the World Health Organization declared a global health emergency in response to the rapid spread of the coronavirus, named COVID-19, which was officially labeled a global pandemic in March, 2020. The resulting fear and uncertainty had far-reaching effects, not only on people's lives but also on the global economy. COVID-19 effected investors’ behavior and this caused fluctations in stock prices and stock markets, especially in emerging countries’ stock markets. To investigate the changes in the dependence structures of emerging countries’ stock markets indices, BRICS countries, which consists of five emerging countries namely Brazil, Russia, India, China, and South Africa, was chosen as the main object of this study. Time-varying flexy copula approach was applied the dataset that was splited into two periods as before COVID- 19 and after COVID-19. The findings revealed shifts in stock market interdependence after the pandemic declaration, especially the dependence coefficients of India with other BRICS countries were found to increase in the after COVID-19 period compared to the before COVID-19 period. Furthermore, certain pairs, such as Russia-India, Russia-South Africa, Brazil-India, Brazil-China, Brazil-South Africa, and India-South Africa were found to display higher lower tail dependence coefficients compared to the before COVID-19 period, indicating increased dependency during negative shocks. Similarly, it was determined that the upper tail dependence values of the Brazil- Russia, Brazil-India, Brazil-China, Brazil-South Africa, Russia-South Africa, and India-China pairs were higher in the after COVID-19 period than in the before COVID-19 period. This means that these countries were more interdependent in the presence of positive shocks in the after COVID-19 period than in the before COVID-19 period. In essence, the dependence structures of BRICS countries’ stock markets experienced significant changes following the COVID-19 pandemic. Despite the potential permanence of this correlation increase, investors and portfolio managers should remain cautious.