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

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  • Mariem Bouzguenda

  • Anis Jarboui

Abstract

This study investigates the interconnectedness of stock returns between the U.S. and BRICS economies over the period 2016 - 2023, using daily data and integrating quantile and frequency-based methodologies. The analysis provides a comprehensive assessment of short- and long-term dynamics, with particular attention to tail dependencies and crisis episodes. The findings reveal heightened spillovers during the COVID-19 pandemic and the Russia-Ukraine war, with the U.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 global linkages. These insights offer guidance for investors, policymakers, and risk managers.

Suggested Citation

  • Mariem Bouzguenda & Anis Jarboui, 2025. "Understanding crisis spillovers: US-BRICS market interdependence in times of turmoil," Modern Finance, Modern Finance Institute, vol. 3(4), pages 46-65.
    • Handle: RePEc:bdy:modfin:v:3:y:2025:i:4:p:46-65:id:378
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    References listed on IDEAS

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    2. Das, Suman & Roy, Saikat Sinha, 2023. "Following the leaders? A study of co-movement and volatility spillover in BRICS currencies," Economic Systems, Elsevier, vol. 47(2).
    3. Tingting Lan & Liuguo Shao & Hua Zhang & Caijun Yuan, 2023. "The impact of pandemic on dynamic volatility spillover network of international stock markets," Empirical Economics, Springer, vol. 65(5), pages 2115-2144, November.
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