Volatility Spillovers Between Oil Prices, Exchange Rates, and Stock Markets in BRICS Countries: A Time-Varying Analysis Using DCC-GARCH Framework

Abstract

This quickening pace of financial integration of international markets enhanced the cross-asset volatility transmission enormously, generating intricate interdependencies, which are especially high among the emerging markets. One of them, namely, The BRICS nations, which include Brazil, Russia, India, China, and South Africa, provides an excellent argument in favor of investigating cross-market volatility spillovers given the increasing economic importance, diversified nature, and stronger response to globally shocking factor commodity prices and exchange rates volatility. These economies that together constitute more than 40 percent of the world population and almost a quarter of the global GDP (Mensi et al., 2021; IMF, 2023) have seen a significant advance in terms of development of their financial market over the last decades in such a way that their stock markets are gaining prominence as a place of portfolio investment of foreign investors.