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

Summary/Abstract: This study investigates the interconnectedness of stock returns between the U.S. andBRICS economies over the period 2016 - 2023, using daily data and integrating quantile andfrequency-based methodologies. The analysis provides a comprehensive assessment of short- andlong-term dynamics, with particular attention to tail dependencies and crisis episodes. The findingsreveal heightened spillovers during the COVID-19 pandemic and the Russia-Ukraine war, with theU.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 globallinkages. These insights offer guidance for investors, policymakers, and risk managers.

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