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Beneath the Surface: Disentangling the Dynamic Network of the U.S. and BRIC Stock Markets’ Interrelations Amidst Turmoil

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  • Neenu Chalissery

    (Research Department of Commerce and Management Studies, Farook College (Autonomous) Kozhikode, University of Calicut, Kozhikode 673632, India)

  • T. Mohamed Nishad

    (Research Department of Commerce and Management Studies, Farook College (Autonomous) Kozhikode, University of Calicut, Kozhikode 673632, India)

  • J. A. Naushad

    (Research Department of Commerce and Management Studies, Farook College (Autonomous) Kozhikode, University of Calicut, Kozhikode 673632, India)

  • Mosab I. Tabash

    (Department of Business Administration, College of Business, Al Ain University, Al Ain P.O. Box 64141, United Arab Emirates)

  • Mujeeb Saif Mohsen Al-Absy

    (Accounting and Financial Science Department, College of Administrative and Financial Science, Gulf University, Sanad 26489, Bahrain)

Abstract

The study examines the time-varying correlation and return spillover mechanism among developed (U.S.) and emerging (BRIC) stock markets during major crises from 2000 to 2023, namely the global financial crisis, COVID-19, and the Russia–Ukraine war. To do so, we used dynamic conditional correlation (DCC-GARCH) and time-varying parameter vector autoregression (TVP-VAR) models. This study finds that the nature of market crises plays a significant role in the interrelationship and return spillover mechanisms among the U.S. and BRIC stock markets. The interconnectedness of the stock markets was strengthened by crises such as the GFC and the COVID-19 pandemic. On the other hand, the Russia–Ukraine war temporarily disrupted the interrelationships between the markets. The study yields valuable insight to local and international investors in portfolio diversification and risk management strategies during market turbulence.

Suggested Citation

  • Neenu Chalissery & T. Mohamed Nishad & J. A. Naushad & Mosab I. Tabash & Mujeeb Saif Mohsen Al-Absy, 2024. "Beneath the Surface: Disentangling the Dynamic Network of the U.S. and BRIC Stock Markets’ Interrelations Amidst Turmoil," Risks, MDPI, vol. 12(12), pages 1-23, December.
    • Handle: RePEc:gam:jrisks:v:12:y:2024:i:12:p:202-:d:1543386
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    References listed on IDEAS

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    1. Geert Bekaert & Michael Ehrmann & Marcel Fratzscher & Arnaud Mehl, 2014. "The Global Crisis and Equity Market Contagion," Journal of Finance, American Finance Association, vol. 69(6), pages 2597-2649, December.
    2. Prasenjit Chakrabarti & Mohammad Shameem Jawed & Manish Sarkhel, 2021. "COVID-19 pandemic and global financial market interlinkages: a dynamic temporal network analysis," Applied Economics, Taylor & Francis Journals, vol. 53(25), pages 2930-2945, May.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Dakhlaoui, Imen & Aloui, Chaker, 2016. "The interactive relationship between the US economic policy uncertainty and BRIC stock markets," International Economics, Elsevier, vol. 146(C), pages 141-157.
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