Understanding crisis spillovers: US-BRICS market interdependence in times of turmoil

Mariem Bouzguenda () and Anis Jarboui ()

Modern Finance, 2025, vol. 3, issue 4, 46-65

Abstract: This study investigates the interconnectedness of stock returns between the U.S. and BRICS economies over the period 2016 - 2023, using daily data and integrating quantile and frequency-based methodologies. The analysis provides a comprehensive assessment of short- and long-term dynamics, with particular attention to tail dependencies and crisis episodes. The findings reveal heightened spillovers during the COVID-19 pandemic and the Russia-Ukraine war, with the U.S. and Brazil identified as the predominant net transmitters of shocks. Their roles, however, fluctuate across time and quantiles, underscoring the evolving and asymmetric nature of global linkages. These insights offer guidance for investors, policymakers, and risk managers.

Keywords: Dynamic spillover effects; Stock index returns; Financial markets; Frequency-based analysis; volatility transmission; BRICS-US stock market interdependence; quantile connectedness approach; financial crises; COVID 19; Russia-Ukraine war; 2023 banking crisis (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:bdy:modfin:v:3:y:2025:i:4:p:46-65:id:378

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