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The pandemic (Covid-19) has affected the global economy, and the impact on financial markets seems inevitable. In view of these events, this essay aims to analyse the shocks between the stock market indices of Brazil (BOVESPA), China (SSEC) India (SENSEX), Russia (IMOEX) and oil (WTC), in the period from January 2, 2019 to May 29, 2020. In order to carry out this analysis, different approaches were undertaken with a view to gauging whether (i) the global pandemic has accentuated the shocks between the BRIC financial markets and the WTC? The daily yields do not have normal distributions, show negative asymmetries, leptokurtic, and exhibit conditional heteroscedasticity. In general, we find evidence that the WTC causes the markets of Russia and India, China does not cause any market, and Brazil is not caused by any market analysed. On the other hand, short-term market shocks are relevant and create some arbitrage opportunities. However, our study did not analyse anomalous returns in these financial markets. These findings also open space for market regulators to take action to ensure better information between international financial markets.

THE SHOCKS BETWEEN OIL MARKET TO THE BRIC STOCK MARKETS: A GENERALIZED VAR APPROACH