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

In: Systemic Financial Risk

Author

Listed:
  • Onur Polat

    (Bilecik Seyh Edebali University)

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.

Suggested Citation

  • Onur Polat, 2024. "Dynamic BRICS Stock Market Linkages as a Channel of Systemic Risk Transmission: Evidence from the Asymmetric Connectedness Approach," Springer Books, in: Alexander Karminsky & Mikhail Stolbov (ed.), Systemic Financial Risk, chapter 0, pages 35-47, Springer.
    • Handle: RePEc:spr:sprchp:978-3-031-54809-3_3
    DOI: 10.1007/978-3-031-54809-3_3
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