China's “New normal”: Will China's growth slowdown derail the BRICS stock markets?

After four decades of impressive performance, China's economic expansion has begun to slow. Considering the growing China's integration in global financial markets, we examine the effect of heightened uncertainty surrounding the China's transition to the new growth model on the remaining BRICS (in particular, Brazil, Russia, India and South Africa) stock markets. This analysis is novel in its methodological approach, which is conducted to pinpoint the dynamic spillover effects as alternative to the time and frequency. The impact of China's growth slowdown is found to be heterogeneous across the BRICS stock markets, suggesting that this crisis does not affect return dynamics in these markets in a uniform way. More specifically, South Africa hasn't been rattled as badly as Brazil, Russia and India. The intensity of bilateral trade and investment relationships, the position of market in terms of regulation and securities exchanges, the financial system efficiency and the ability of counter-cyclical policies to cope with the severe downturn have been put forward to explain the heterogeneous responses of BRICS equities.