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Mapping complex interdependencies through higher order moments: Cross-market spillovers and shocks in BRICS

Author

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  • Ijaz, Muhammad Shahzad
  • Faff, Robert
  • Khurram, Mahrukh
  • Munir, Irfan

Abstract

The interdependence of stock markets is crucial for systemic risk management and policy formulation. While most studies focus on returns and volatility, our paper explores higher-order moment risk linkages among BRICS equity markets. It also investigates how geopolitical conflicts affect the transmission of higher-order moments. The findings reveal that risk spillovers between these markets are time-varying, with kurtosis spillovers being more prominent than those from volatility and skewness. The dynamic evolution of these spillovers intensifies during major financial crises.

Suggested Citation

  • Ijaz, Muhammad Shahzad & Faff, Robert & Khurram, Mahrukh & Munir, Irfan, 2025. "Mapping complex interdependencies through higher order moments: Cross-market spillovers and shocks in BRICS," Finance Research Letters, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:finlet:v:79:y:2025:i:c:s154461232500354x
    DOI: 10.1016/j.frl.2025.107091
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