INTERCONNECTEDNESS OF BRICS FINANCIAL MARKETS: A SPILLOVER ANALYSIS

Premananda Meher () and Rohita Kumar Mishra ()
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Premananda Meher: Dept. of Business Administration, Sambalpur University
Rohita Kumar Mishra: Dept. of Business Administration, Sambalpur University

Review of Economic and Business Studies, 2024, issue 33, 63-79

Abstract: This study examines the spillover effects within the financial markets of Brazil, Russia, India, China, and South Africa (BRICS countries) using market index, currency conversion to USD, and 10-year government bond yield as key datasets. Through the application of correlation analysis, Granger causality tests, and Vector Autoregression (VAR) models, we investigate the interconnectedness and causal relationships among these variables across the BRICS economies. Our findings reveal significant correlations and causal linkages between market indices, currency conversions, and bond yields, indicating the presence of spillover effects within the BRICS financial markets. Moreover, the VAR models provide insights into the dynamic interactions and transmission mechanisms shaping these spillover effects over time. Understanding these interconnections is crucial for investors, policymakers, and stakeholders seeking to navigate and manage risks within the BRICS financial landscape.

Keywords: BRICS; Financial markets; Spillover effects; Correlation analysis; VAR model (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:aic:revebs:y:2024:j:33:meherp

DOI: 10.47743/rebs-2024-1-0003

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