RUSSIA – UKRAINE CRISIS: THE IMPACT ON BRICS STOCK MARKET

Abstract

This essay looks at how the war between Russia and Ukraine has affected the dynamics between the BRICS countries. Because to the recent sanctions placed on Russia, the country's closeness, and the rise in political volatility, an effort is being made to understand the affiliation and interaction among the BRICS states. The main objective is to examine which market has the dominant effect of this war among the players of the BRICS financial market listed under MSCI net USD. By taking into account the indices' price and return movements, pre- and post-war analyses are conducted on the BRICS nations. To study the war effect correlation, cointegration, and vector error correction models are used. Our study reveals that not all BRICS nations react to rating changes the same way and interact with global market variables in diverse manners. The index returns have a consistent long-term casual association but not the index prices. Russia's index forecast error variance affected the other country before the conflict and presumably dropped during the crisis.

Keywords - BRICS, Cointegration, Correlation, Indices, Stock market, Econometric analysis.