THE CHANGING EFFECT OF THE RISK AVERSION ON US AND BRIC MARKET INTEGRATION DURING THE COVID-19 AND 2008 CRISIS

Özet

The effects of non-cash factors on the integration of countries' financial markets is one of the most debated topics in the literature. The effects of the COVID-19, the biggest pandemic of the last century, on the financial markets are the focus of hot discussions. The aim of this study is to examine the long and short-run asymmetric effects of the change in risk aversion of investors on the integration between the stock market of the United States (USA) and of BRIC (Brazil, India, Russia, and China) during the COVID-19 outbreak and the 2008 economic crisis. The nonlinear autoregressive…

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