EconPapers    
Economics at your fingertips  
 

Dynamic BRICS Stock Market Linkages as a Channel of Systemic Risk Transmission: Evidence from the Asymmetric Connectedness Approach

Onur Polat ()
Additional contact information
Onur Polat: Bilecik Seyh Edebali University

Chapter Chapter 3 in Systemic Financial Risk, 2024, pp 35-47 from Springer

Abstract: Abstract Recent episodes of financial/geopolitical crises produce significant impacts on cross-market linkages. To exemplify, the novel coronavirus disease (COVID-19) has shaped a new strand of crises, including health and financial ones. Furthermore, the global economy has witnessed several turmoils such as the Russian-Ukrainian conflict. Against the backdrop, worldwide systemic risk has surged notably. This study examines the asymmetric transmission of spillovers among the BRICS equity markets with the presence of heightened financial and geopolitical risk. To this end, we collect the iShares MSCI ETF indices of BRICS and implement a newly engineered approach, the asymmetric connectedness based on the time-varying vector autoregressive (TVP-VAR) model. Empirical findings of the study underpin noteworthy intensifications of BRICS equity connectedness around financial/geopolitical bursts.

Keywords: Asymmetric connectedness; ETF; TVP-VAR; BRICS; C32; C51; E43; G15 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-54809-3_3

Ordering information: This item can be ordered from
http://www.springer.com/9783031548093

DOI: 10.1007/978-3-031-54809-3_3

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2025-03-31
Handle: RePEc:spr:sprchp:978-3-031-54809-3_3