The Impact of the SAR-CoV-2 Epidemic on Oil Prices and BRICS Stock Markets: Dynamic Conditional Copula Approach

Abstract

The purpose of this study is to illustrate the impact of the Covid-19 epidemic on oil prices and the BRICS stock markets before and after the pandemic, as well as to create an example of the addiction model. Using the CD-vine copula approach, the goal is to demonstrate the dynamic nature of the conditional dependencies of data acquired from BRICS stock markets and oil prices (Opec Oil and Brent Oil). According to the findings, D vine branching and compatible copula families, copula family parameters, and Kendall tau values best represent the conditional dependency structure for the Sars-Cov-2 before-after pandemic period for Brent Oil, Opec Oil, and BRICS Countries. The results of the study are given with the support of figures and graphics.