Mapping complex interdependencies through higher order moments: Cross-market spillovers and shocks in BRICS

Muhammad Shahzad Ijaz, Robert Faff, Mahrukh Khurram and Irfan Munir

Finance Research Letters, 2025, vol. 79, issue C

Abstract: The interdependence of stock markets is crucial for systemic risk management and policy formulation. While most studies focus on returns and volatility, our paper explores higher-order moment risk linkages among BRICS equity markets. It also investigates how geopolitical conflicts affect the transmission of higher-order moments. The findings reveal that risk spillovers between these markets are time-varying, with kurtosis spillovers being more prominent than those from volatility and skewness. The dynamic evolution of these spillovers intensifies during major financial crises.

Keywords: Higher order moments; Geopolitical risks; BRICS; Emerging equity markets (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:79:y:2025:i:c:s154461232500354x

DOI: 10.1016/j.frl.2025.107091

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