Mapping Financial Contagion in Emerging Markets: The Role of the VIX and Geopolitical Risk in BRICS Plus Spillovers

Using a time-frequency and quantile connectedness approach, our study examines the complex return spillovers dynamics between BRICS Plus stock markets, the volatility index (VIX), and the global geopolitical risk index (GPRD). By employing advanced models such as TVP-VAR, quantile connectedness, and spectral decomposition, we demonstrate how these markets interact across different market conditions and periods. Our results indicate that the VIX consistently acts as the dominant net transmitter of shocks, especially during periods of heightened uncertainty such as the COVID-19 pandemic, the Russian-Ukraine conflict, and the Trump-era U.S.-China trade tensions. In contrast, the GPRD functions predominantly as a net receiver of shocks, indicating its potential role as a hedge during geopolitical crises. BRICS Plus markets exhibit heterogeneous behavior: Brazil, South Africa, and Russia frequently emerge as net transmitters, while China, India, Egypt, Saudi Arabia, and the UAE primarily act as net receivers. Spillovers are strongest at the extremes of the return distribution and are mainly driven by short-term dynamics, underscoring the importance of high-frequency reactions over persistent long-term effects. These findings highlight the asymmetric, nonlinear, and state-dependent nature of global financial contagion, offering important insights for risk management, asset allocation, and macroprudential policy design in emerging market contexts.