In the present work, a study has been made over the prime stock indices of some fiscally prominent countries impacted by COVID-19. The countries are separated in two ways: (1) considering gross total number of infected cases-here seven mostly impacted countries with certain global economic influence are selected; (2) considering the concentration of the infected cases-here six major impacted countries with considerable influence are selected. This sort of categorization is itself a novel strategy which is capable of including some less populated, but severely impacted countries of economic importance. The objective of the present analysis is to comprehend the impact of COVID-19 on these markets and to recognize the effect of COVID-19 on mutual association and dependence between these markets. To add more flavour of reliability, we have taken a new and fresh strategy of fixing the time frames under consideration before and during COVID-19 pandemic as uniform. We have used both linear and nonlinear Granger causality analysis and employed generalized forecast error variance decomposition analysis to review the exogeneity and endogeneity of the individual markets. The present study shows that this pandemic has changed the underlying relationship: some exogenous stock markets have become endogenous and vice versa in the pandemic. Linear relationship has been reduced radically, whereas nonlinear relationship has been improved during the COVID-affected period. TASE, the highest returned and significantly uncorrelated index, emerged as the most exogenous market in the pre-COVID period, though it is nonlinearly endogenous in the long term, in the COVD-affected period. CAC 40 is the most endogenous market for the short term in both pre-COVID and COVID-affected period. B3 and NYSE, exogenous in the pre-COVID period, turned out to be linearly endogenous in the COVID-affected duration, whereas BIST 100 and BSE SENSEX are found to be exogenous markets in the COVID-affected period according to both linear and nonlinear causal analysis. They were also exogenous in the pre-COVID era for the short-term period, with BSE SENSEX exhibiting exogeneity anti-persistently for the COVID-affected period too. Association among the markets is more in long term rather than short term. A possible conclusion is also that the markets may regain long-term association once the effect of COVID would fade away.
