 Dynamic connectedness between oil shocks and BRICS stock marketsWalid Mensi, Rim El Khoury and Sang Hoon Kang Finance Research Letters, 2025, vol. 82, issue C Abstract: This study explores the dynamic relationships between oil shocks and the BRICS stock markets (Brazil, Russia, India, China, and South Africa) using a novel R2 decomposed connectedness framework to quantify both contemporaneous and lagged spillovers. It differentiates between the immediate and delayed effects of demand, supply, and risk-driven shocks. Our findings show that total connectedness is heterogeneous over time and dependent on economic events, with contemporaneous effects more pronounced on average. Risk shocks emerged as primary volatility transmitters during global crises such as the COVID-19 pandemic, influencing markets almost immediately. Lagged spillovers are observed, indicating delayed market responses to the initial shocks. The role of BRICS nations as net receivers or transmitters is shaped by their economic characteristics and shocks. This study highlights the need for tailored policy responses to manage the impact of oil price volatility on emerging markets, considering both immediate and long-term effects. Keywords: Oil shocks; BRICS stock markets; Dynamic connectedness; Contemporaneous connectedness; Lagged connectedness (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:82:y:2025:i:c:s1544612325008608 DOI: 10.1016/j.frl.2025.107601 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
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