Economic Policy Uncertainty and Stock Market Co-Movements in BRIC Countries: Evidence from Wavelet Coherence and Rolling Bootstrap Granger Causality

[Purpose] The relationship between economic policy uncertainty (EPU) and stock returns in the BRIC countries (Brazil, Russia, India, and China) is examined by analyzing both static and dynamic interactions across different time horizons, with particular attention to major global crises. [Design/methodology/approach] Monthly data from 2004 to 2022 are used, and wavelet coherence analysis is applied together with bootstrap rolling-window and full-sample Granger causality tests to assess the dynamic and causal links between EPU and stock returns. [Findings] The results show unidirectional causality from EPU to stock returns in Brazil, Russia, and India. In these countries, higher policy uncertainty reduces stock returns, while no significant causal relationship is found for China. Wavelet coherence results reveal strong short-term co-movements during crisis periods, medium-term synchronization in India and Russia, and persistent long-term correlations in China. The findings highlight the time-varying nature of the EPU–return relationship and its sensitivity to global shocks and institutional conditions. [Originality/value] By integrating wavelet coherence with bootstrap rolling-window Granger causality, the study provides a multi-scale and dynamic framework for analyzing the EPU–stock return nexus in BRIC economies, offering useful insights for portfolio management, risk assessment, and decision-making in the field of Decision Sciences.