A comparative analysis on impact of coronavirus disease-2019 on performance of major

stock market indices in BRICS and Group Seven countries 

1.Dr V N Sailaja,2. Kakarla Madhav Kalyan, 3.Pathan Afzal Khan

1. ASSOCIATE PROFESSOR, BUSINESS SCHOOL, KONERULAKSHMAIAH

EDUCATIONAL FOUNDATION, VADDESWARAM ,AP, INDIA

2. MBA, BUSINESS SCHOOL, KONERULAKSHMAIAH EDUCATIONAL

FOUNDATION, VADDESWARAM ,AP, INDIA

3.MBA, BUSINESS SCHOOL, KONERULAKSHMAIAH EDUCATIONAL

FOUNDATION, VADDESWARAM ,AP, INDIA

1.drvedalasailaja@kluniversity.in
2.madhavkalyan1800@gmail.com
3.afzalkhan.ak40@gmail.com

Abstract
Across the world, Stock markets have exhibited varying degrees of volatility following the
recent COVID-19 pandemic (Moshfiqque Uddin@al2021). Financial reports from various
sources indicated that the COVID-19 outbreak is severely distracting the world economy and
financial markets. Many markets around the world have seen heavy declines since the
pandemic's outbreak (Raef Bahrini, Assaf Filfilan,2020). This paper examined the effect of
this pandemic on stock market volatility in BRICKs and G7 countries. The period considered
for the study from January 2019 to 2021 March by using structural break analysis. It is found
that both BRICS and Group seven countries have a presence of structural breaks in March
2020 and all countries in both groups have witnessed a drastic fall in terms of the index value.
It was found that all countries have reached high values prior to the emergence of covid-19
on market performance in all selected economies. But, the average Market index down by 35
per cent in both group of countries with the hit of pandemic. The BRICS and Group Seven
countries market indices and the lives of people are greatly affected during this
period.Moreover, the average market return of all countries had stirred the score of 19 per
cent in the year 2020.
Keywords: Economy, Impact, Capital Markets, Pandemic, Structural breaks, Sustainability,
Financial System,
JEL classification: G01,G12,G15
Introduction
The rapid spread of the unprecedented COVID‐19 pandemic has put the world in jeopardy
and changed the global outlook unexpectedly (Debakshi Bora& Daisy Basistha2021). Across
the world, all countries strictly imposed lockdown restrictions to curtail the spread of corona
virus with travel prohibitions, border closures, stay-at-home and work-from-home facility,
and extensive business closures, which led severe breakdown in the global economy (Ibrahim
Yousef, Esam Shehadeh2020).This “resting” state of the economy has turned into
tremendous financial crisis,high rate of inflation, unstable financial markets with severe
volatility.
(EmonKalyan Chowdhury, Iffat Ishrat Khan, Bablu Kumar Dhar2021). Investors inevitably
suffered heavy losses from plunging stock prices. Fears about the crisis and its impact on the
global economy rapidly spread to the remaining parts of the world (Hui Hong, Zhicun
Bian,2021).. India has witnessed the massive withdrawal of FII investments and subsequent
crash of the capital market due to the impact of covid-19. Hence, research studies of this kind
are very important to provide direction to all stock market participants for choosing a safe
investment avenue at this point of pandemic (Collins C Ngwakwe2020).
Literature Review
Paul Owusu Takyi, Isaac Bentum- Ennin (2020) made study on” The impact of COVID-19
on stock market performance in Africa: A Bayesian structural time series approach” in
thirteen African countries, using daily time series data from 1st October 2019 to 30th June
2020 and found pandemic has negative impact on the stock markets of eight countries.
Stefan Cristian Gherghina, Daniel Stefan Armeanu and Camelia Cătălinaoldes, (2020) made
a study “Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence
analysed the linkages in financial markets during pandemic and confirmed the presence of a
long-term and short-term relationship between Romanian capital market and COVID-19
variables from ARDL model and Granger causality test.
MaretnoAgusHarjoto, Fabrizio Rossi, Robert Lee, Bruno S. Sergi (2020) made study on
“How Do Equity Markets React to COVID-19? Evidence from Emerging and Developed
Countries” examined supply of stock market returns hypothesis,they discussed on the
unprecedented adverse shock of COVID-19 on the countries’ economic growth translates into
a negative shock to the stock markets.
M. Praveen Kumar, N.V. Manoj Kumara b (2020) made study on “Market capitalization: Pre
and post COVID-19 analysis”. This article analyses the market capitalization correlation
between the performances of shares and the growth of the share market, using the stock
market data of Pre and post COVID-19 status by comparing the data from 2020. The
variables have positive and statistically strong significance on the changes in the market’s
performance and the value of its market capitalization.
RaéfBahrini and Assaf Filfilan (2020) made a study on “Impact of the novel coronavirus on
stock market returns: evidence from GCC countries” and results indicated that during this
period of corona virus outbreak the GCC stock markets turned into reverse direction in a
significant manner with the increase in COVID-19 confirmed deaths.
Dr.T.C.Thomas, Dr.G.Sankararaman, Dr.S.Suresh (2020) made a study on ” Impact Of
Covid-19 Announcements On Nifty Stocks” and found Nifty is down about 31% from its
earlier hit of 12,430 on 20.01.2020, and more than 90% of the companies hit their 52-week
low in March. As many as 45 companies have hit their multi-year low amid the volatility
caused by the outbreak of COVID-19 virus across the countries. Foreign institutional
investors have alone sold out more than Rs 60,000 crores from the cash segment of the Indian
equity market in the month of March 2020. Most of the blue chip companieswho are leaders
of their respective sectors are trading at multi-year lows with the recent changes.
Collins C Ngwakwe (2020) made study “Effect of COVID-19 Pandemic on Global Stock
Market Values: A Differential Analysis” considering SSE Composite Index China, Euronext
100 Europe, Dow Jones Industrial Average United States of America. This paper set out with
a core objective of analysing the differential effect of coronavirus epidemic on select global
stock markets in China, Europe and United States of America.The findings from this research
provides practical demonstrates to stock market participants that China provides a safer
investment destination during this period of COVID-19 epidemic at least within the early
days and/or months into the COVID-19.
Parag Verma (2021) made a study on “A Statistical Analysis of Impact of COVID19
on the Global Economy and Stock Index Returns” in which he commented that infection hasa
visible blow on global economic development.
ZakyMachmuddah, St. DwiarsoUtomo (2020) made a study on “Stock Market Reaction to
COVID-19: Evidence in Customer Goods Sector with the Implication for Open
Innovation”and found that change in stock prices compared to before and during covid
presence.
Sakthive P (2020) made study “The outbreak of COVID-19 pandemic and Its Impact on
Stock Market Volatility: Evidence from a worst-affected economy” revealed that the
outbreak of COVID-19 has affected the entire global financial market in an unprecedented
way. Due to the disruptions that emerged in the global market; the financial market of India
also reacted to the pandemic and witnessed sharp volatility.
HaiYue Liu, Aqsa Manzoor, CangYu Wang (2020) made a study on “The COVID-19
Outbreak and affected Countries Stock Markets Response” considering 21 leading stock
market indices in major affected countries including Japan, Korea, Singapore, the USA,
Germany, Italy, and the UK etc. They explored the unexpected shift in financial markets
during the study period.
Rashmi Chaudhary, PritiBakhshi (2020) made a study on “The performance of the Indian
stock market during COVID-19” analysed it on the multiple measures of volatility, namely
standard deviation, skewness, and kurtosis of index returns, concerning two composite
indices and eight sectoral indices on the daily data from January 2019 to May 2020 using the
GLS regression. This paper key findings state that sub-sample analysis for the composite and
sectoral indices before and during COVID-19 period, with equivalent window length,
discloses that all indices show lower mean daily return, rather be specific, negative returns in
the crisis period as compared to pre-crisis five-month period
Sudharshan Reddy Paramati, Rakesh Gupta (2020) examined causal nexus between stock
market performance and economic growth by taken into account of Long and short variables
and concluded that there is a two way relationship between them.
Research gap
Though there were many studies conducted to identify the impact of covid on world economy
on different issues from different angles. No comprehensive study is yet conducted on Impact
of covid on stock indices performance in BRICKs and G7 countries. Hence, this article made
an attempt to find it.
Research Objectives
 To study the select major stock markets Indices in BRICS and Group Seven countries.
 To identify the presence and timing of structural breaks  in BRICS and Group Seven
countries stock market indices.
 To assess the level of the impact due to covid-2019 on stock markets indices. 
 To Examine stock market performance pre and during covid-2019 in BRICS and G7
countries.
 To Analyse region wise stock market performance in BRICS and G 7 Countries
Hypothesis
 Hypothesis(H0)-1: There are no structural breaks in BRICS and G 7 Countries during
March 2020.
 Hypothesis(H0)-2: There is more impact of covid-19 on BRICS compared to Group
seven countries.
 Hypothesis (H0)3: There is no difference in Impact of covid among American,
Europian and Asian Countries
Methodology
The study on secondary data related to BRICS and group seven countries indices which is
collected from various financial websites such as World meter, Yahoo finance and
Investing.com. Data on the historical daily values of stock market indices for a sample of 12
different major indices in both BRICS and Group seven countries were collected for one year
before and after the COVID-19 outbreak i.e from2019 January to 2021March.

Data Analysis
Hypothesis(H0)1: There are no structural breaks BRICS and G 7 Countries during March
2020.
Structural break analysis of BRICS countries
Brazil
Figure 1 BOVESPA structural break plot

It is clear from the above structural break plotthat there is existence of structural break in
Brazil Bovespa market index data. The p-value of chow test is 0.000 which is less than 0.05
revealed that the null hypothesis can be rejected at a 5% significance level and accept the
alternative hypothesis. It can also be stated that from the above calculations related to
Brazil’s Bovespa market index,the highest value of the market index had reached 107224 on
4th March 2020 before pandemic and it is 63570 by 23rd march 2020 which shows 38
percent change in the Bovespa market index during 20 days.
Russia
Figure 2 RTSI structural break plot

It
is clear from the above chow test,p-value is 0.000 which is less than 0.05 indicating that the
null hypothesis can be rejected at a 5% level of significance and accept the alternative
hypothesis where it says there is a structural break in RTSI Market index. From the above
calculations, the highest value of the market index before pandemic is 1647 on 20th January
2020, and it has reached 823 by 18th march 2020 showing 49 per cent change in the Russia
RTSI market index during 60 days. RTSI which is one major stock index in Russia took 120
days to recover again to its highest index value which is recorded before the impact of covid-
19. RTSI Market index has registered a return of 44.9 percent in the year 2019 but came
down to -10.42 percent of return by the end of the 2020 year.
China
Figure 3.SZE Component structural break plot
The above plot shows the existence of structural breakbut not in March of 2020 in China SZE
Component Market index data. The p-value is 0.000 which is less than 0.05 for data leads to
reject null hypothesisand accept the alternative hypothesis at a 5% level of significance. The
highest value of the market index prior to the pandemic was 11772 on 24th February 2020
and it has reached 823 by 23rd march 2020 given 18 per cent change in the China SZE
Component market index during 30 days. SZE Component which is one major stock index in
China took 84 days to recover again to its highest index value which is recorded before the
impact of covid-19. SZE Component Market index has recorded a return of 44.08 per cent in
the year 2019 but it has given 38.73 per cent of return by 2020 December.

South Africa
Figure 4.South Africa Top 40 Market Index Structural Break Plot
The above structural break plot shows thatthe p-value is 0.000 which is less than 0.05 for
data recommending that the null hypothesis can be rejected and accept the alternative
hypothesis at a 5% level of significance, where it says there is a structural break in
2020March. South Africa Top 40 market index recorded highest value of 53056before
pandemic on 13th February 2020, and it dropped to 34239 by 19th march 2020 resulting into
34 percent change in South Africa top 40 market index during 35 days. This is one of the
major stock index in South Africa took 114 days to recover again to its highest index value
which is recorded before the impact of covid-19. South Africa Top 40 Market index has
recorded a return of 8.75 per cent in the year 2019 but it has given a 7.01 per cent of return by
2020 year ending.
India
Figure 5.BSE Sensex structural break plot

The p-value from chow test is 0.000 which is less than 0.05 suggestingto reject null
hypothesis at a 5% level of significance and accept the alternative hypothesis, where it says
there is a structural break in 2020 March. BSE Sensex market index value reached its peak at
41566 before the pandemicon 12th February 2020and travelled in areverse direction to25981
by 23rd march 2020 revealed 37 percent change in BSE Sensex market index during 40 days.
BSE Sensex is one major stock index in India took 182 days to recover again to its highest
index value as it has before covid-19. BSE Sensex has shown a return of 14.38 percent and
15.75 percent in 2019 and 2020 respectively.
Structural Break Analysis of Group Seven(G7)
Canada
Figure 6.S&P/TSX structural break plot

It is clear that p-value from chow test is 0.000 which is less than 0.05 recommending to reject
null hypothesis at 5% level of significance and accept the alternative hypothesis, where it
says there is a structural break in 2020 March. S&P/TSX market index reached highest value
of the market index17944 on 20th February 2020 before pandemic and fell downto 11228 by
23rd march 2020. It shows 37 percent change in S&P/TSX market index during 30 days. This
index is one major stock index in Canadatook 193 days to recover again to its highest index
value which is recorded before covid-19. S&P/TSX Market index has recorded a return of
19.1 percent in the year 2019 but it has given a 2.17 per cent of return by the end of 2020.
United States of America
Figure 7.S&P 500 structural break plot

It is clear that by conducting a chow test there is the existence of structural break in USA
S&P 500 Market index data. p-value from chow test is 0.000 which is less than 0.05 revealed
that the null hypothesis can be rejected at a 5% level of significance and accept the alternative
hypothesis, where it says there is a structural break in March 2020. S&P 500 market
indexrecorded its peak value 3386 on 19th February 2020before pandemic. But on 23rd March
2020, it came down to 2237, putting together 34 percent change in S&P 500 market index
during 30 days. It is also observed from the data, S&P 500 indextook 118 days to recover
again to reach its earlier highest recorded value before covid-19. S&P 500 Market index has
recorded a return of 28.8 percent in the year 2019 but it shows 16.26 percent of return by the
end of the 2020.
Japan
Figure 8.Nikkei 225 structural break plot

It is clear that by conducting a chow test there is the existence of structural break in Japan
Nikkei 225 Market index data. The p-value by conducting chow test is 0.000 which is less
than 0.05 for data suggesting that the null hypothesis can be rejected at a 5% level of
significance and accept the alternative hypothesis, where it says there is a structural break in
March of 2020. In Nikkei 225 market index, the highest value of the market index before
pandemic was 24084 on 20th February 2020, and it is 16553 by 19th March 2020. This tells
31 per cent change in the Japan Nikkei 225 market index during 30 days. Moreover, it took
143 days to recover again to its highest index value which is recorded before covid-19.
Nikkei 225 Market index has recorded a return of 18.20 percent in 2019 and 16.01 percent of
return in 2020

France
Figure 9.CAC 40 structural break plot

It is clear that by conducting a chow test there is the existence of structural break in France
CAC 40 Market index data. The calculated p-value by conducting chow test is 0.000 which is
less than 0.05 says that the null hypothesis can be rejected at 5% level of significance and
accept the alternative hypothesis, where it clearsthere is a structural break in March
2020.CAC 40 market index reported 6111 as highest value of the market index before
pandemic on 19th February 2020, and it dropped to 3755 by 18th march 2020. There is a 39
per cent change in the France CAC 40 market index during 30 days and took 200 days to
recover again to its highest index value which is recorded before covid-19. CAC 40 Market
index has recorded a return of 26.37 percent in 2019 and a negative return -7.14 percent
in2020.
United Kingdom
Figure 10.FTSE structural break plot

It is clear from the calculated p-value by conducting chow test is 0.000 which is less than
0.05 for data shows that the null hypothesis can be rejected at a 5% level of significance and
accept the alternative hypothesis, where it says there is a structural break in March 2020. In
the FTSE market index, Value of the market index before pandemic is 7499 on 12thFebruary
2020, and 4994 by 24th March 2020. This records 33 percent change in the UK FTSE market
index during 40 days and it took 133 days to recover again to its highest index value which is
recorded before covid-19. FTSE Market index has recorded a return of 12.10 percent in 2019
and a negative return -14.34 percent in 2020.
Germany
Figure 11.DAX structural break plot

It is observed that p-value from the chow test is 0.000 which is less than 0.05 resulting into
reject null hypothesisat 5% level of significance and accept the alternative hypothesis, where
it says there is a structural break in March 2020. The DAX market index reached highest
value of the market index to 13784before pandemic on 17th February 2020 and came down
to 8442 by 18th march 2020. It shows 38 percent change in the Germany DAX market index
during 30 days and also revealed that DAX index in Germany took 110 days to recover again
to its highest index value which is recorded before covid-19. This index has recorded a return
of 25.48 percent in 2019 and 3.55 per cent in 2020.
Italy
Figure 12.Italy 40 structural break plot
It is clear from the above chart that the existence of structural break in Italy 40 Market index
data. The p-value by conducting chow test is 0.000 which is less than 0.05 for data suggesting
that the null hypothesis can be rejected at a 5% level of significance and accept the alternative
hypothesis, where it says there is a structural break in March 2020.Italy 40 market index, has
shown highest index value 25415 on 20th February 2020 before pandemic and dropped to
14986 by 30th march 2020 which shows 41 percent change in the Italy 40 market index
during 30 days. This Index took 77 days to recover again to its highest index value which is
recorded before the impact of covid-19 and recorded a return of 32.46 percent and 9.07 in
2019 and 2020 respectively. .

Hypothesis(H0)-2: There is more impact of covid-19 on BRICS compared to Group

seven countries.
Table1. BRICS Market Movement Summary
S. Countr Highest Lowest %Cha No of Retur Retur Structura
N ies Value Value nge Recov n n l Break
o ery (201 (202
Days 9) 0)
1 Brazil 107224(4/3 63570(23/3/ 38% 89 31.58 2.92 Mar,6,20
/20) 202) % 20

2 Russia 1647(20/1/ 832(18/3/20 49% 90 44.93 - Mar,4,20

20) ) % 10.42 20
%
3 India 41566(12/2 25981(23/3/ 37% 182 14.38 15.75 Mar, 4,
/20) 20) % % 2020

4 China 11772(24/2 9692(23/3/2 18% 84 44.08 38.73 Dec,30,2

/20) 0) % % 019

5 South 52056(13/2 34239(19/3/ 34% 114 8.75 7.01 Feb, 27,

Africa /20) 20) % % 2020

Source of Data: in.Finance.Yahoo.com

 Table 2. GROUP SEVEN(G7) Market Movement Summary
S. Countri Highest Lowest %Chan No of Retur Retur Structur
N es Value Value ge Recove n n al
o ry Days (2019 (2020 Breaks
) )
1 USA 3386(19/2/2 2237(23/3/2 34% 118 28.88 16.26 26,
0) 0) % % Feb,202
0
2 Canada 17944(20/2/ 11228(23/3/ 37% 193 19.13 2.17 6, Mar,
20) 20) % % 2020
3 Japan 24084(20/1/ 16553(19/3/ 31% 143 18.20 16.01 26,
20) 20) % % Feb,202
0
4 German 13784(17/2/ 8442(18/3/2 38% 110 25.48 3.55 27,
y 20) 0) % % Feb,202
0
5 Italy 25415(20/2/ 14986(18/3/ 41% 77 32.46 9.07 6, Mar,
20) 20) % % 2020
6 France 6111(19/2/2 3755(18/3/2 39% 200 26.37 - 5,
0) 0) % 7.14 Mar,20
% 20
7 UK 7499(12/2/2 4994(24/3/2 33% 133 12.10 -14. 28, Feb,
0) 0) % 34% 2020
Source of Data: in.Finance.Yahoo.com

Table 1 and 2presents the descriptive statistics of BRICS and G7 Countries using the daily
returns for each index, including change in terms of percentage in stock market indices and
the number of recovery days taken by each market. The period has been divided into two
such as before crisis and during crisis, after monitoring equal time span for the samples. It is
observed that the minimum value for all the indices from January to May 2020 occurred on
23 March 2020, which constituted one of the most influenced days in the stock markets.
All the market indices finished in very low values and all sectors also moved down and
recorded 36% change across on the day. All indices have shown lower mean daily return, in
more specific, negative returns in the year 2020 period compared to 2019. Returns of market
indices of BRICS has fallen about 18%.On the other hand, G7 countries have given only 3%
return with drastic fall of 30% by comparing both periods. But the recovery days taken by
BRICS indices took less compare to G7 countries indices by 111 and 139 days respectively.
Impact on G7 countries indices was larger during the COVID-19 time compared to its
counter group of BRICS countries in the same period. Hence as per the calculated values,
Null hypothesis is rejected as the impact of covid is high in G7 countries.

Hypothesis (H0)3: There is no difference in Impact of covid among American, European and
Asian Countries

Table 3. Market indices performance in American, European and Asian countries

S. No Countries Avg. Avg. Avg. Avg.

%Change No of Return Return
Recovery (2019) (2020)
Days
1 American 36 133 26% 7%
2 European 33 122 28% -4%
3 Asian 28 136 25% 23%
Source of Data: in.Finance.Yahoo.com

The above table contains the highlights of periodic returns of all countries based on region.
European region countries have more difference in percentage of Average return in market
indices values between two periods. Coming to average number of recovery days are more or
less similar in American and Asian region compared to European region. The average returns
of all three regions in 2019 are 26 percent, 28percent and 25percent respectively. Whereas
coming to 2020, average market return of European countries markets has given in negative
value about -4%, American stood at 7% and Asian markets on other hand have less per cent
change in terms of market return with 2% compare to previous year return. Overall, the
impact of Covid-19 is more on Group 7 economies compare to BRICS countries because G7
comprise mostly American and European countries which have huge influence compared to
Asian countries.
Findings
 Both BRICS and Group seven countries have presence of structural breaks.
 All countries in both groups have breaks in the month of March 2020.
 It is found that all countries in both groups have witnessed down fall in terms of index
value
 Every country in both BRICS and G7 have reached high values in market
performance before covid-19.
 There is 39 percent average fall of market index during covid-19 in BRICS countries
without including China and the average fall of market indices value in BRICS
countries has recorded 35 percent when China included.
 Average fall of market indices value in Group seven(G7) countries has recorded
around 36 percent, which is nearly equal to BRICS countries.
 Most of BRICS countries have reported structural breaks from starting of March2019
except China which reported at end December 2019.
 It is found that among Group seven countries structural break also reported from
starting of March month.
 BRICS countries has given average market index return about 30 percent in year 2019
and only 11 percent in 2020.
 Group seven countries have given average market index return around 23 percent in
2019 and 25 percent in year.
 European countries like Russia, France and Italy has recorded negative returns in year
2020 due to impact of covid-19
 Average number of days took by BRICS countries to regain to pre covid-19 market
index value had took nearly 110 days.
 Group seven countries had taken 50 days more compare to BRICS nations.
 China is only country has less impact of covid-19 on pre and post market index
performance.
 It is found that impact of covid-19 on market indices performance is almost same in
both group of countries.
Conclusion
BRICS and Group Seven countries market indices are very muchpredisposed during COVID-
19 timeline. In addition, the average market return of all countries had touched 19 percent
mark in 2020. The average Market index is lowered by 35 percent in both group of countries.
Hence impact of covid-19 comparatively same on all countries and have shown structural
breaks in the month of March in both groups except in China which had in December
2019.Fears of pandemic and policy measures to control disease transmission have contributed
to a global supply shock, especially in the labour-intensive and manufacturing sector. To
safeguard the staff, factories and offices are shutting or reducing activities which decreases
labour force, productivity, and ultimately affects the profitability of companies. It would
leave several businesses illiquid and, if not handled correctly, it would cause companies to
resort to staff cutbacks or to shut down entirely. This is the main explanation of why financial
markets have been in panic mode worldwide. Stock prices represent the potential of future
earnings, and investors see the pandemic as a dampening economic activity and are
concerned about future revenue. Therefore, it is very important that the all national and
International governmentshave to take stringent measures to curb the spread of virus to
reduce the economic distractions.

Author's Contribution: This Paper is my original contribution and has not been plagiarized
from any source
Conflict of Interest: I am submitting this article only to Indian journal of finance only Hence
There is no conflict of Interest.
Funding Acknowledgement:

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