An Experimental Analysis of How Resilient BRICS Stock Markets are to the Ukrainian Crisis

The purpose of this paper is to measure the financial connectedness and spillover transmission among stock markets between BRICS economies and the rest of the world in the wake of the ongoing Ukrainian crisis in. The paper compares the effect of three different shocks and crises (GFC, COVID-198, and Ukrainian crisis) on risk and return spillover among these indices. The paper utilizes Diebold and Yilmaz (2012) for connectedness and spillover measurement, and impulse response function. The outcomes of the paper indicate, in general, that return and volatilities s in BRICS markets are sensitive and influenced to transmission from other markets during the GFC than in COVID-19 and Ukrainian conflict periods, however the outcomes of the volatility transmission demonstrate that stock markets in BRICS became less resilient to external shocks (volatility shock) as compared to the past. This indicate that the financial connectedness of BRICS stock indices with the rest of the world (represented by developing developed markets) is partially increasing over time. The outcomes of this empirical work are believed to be significantly important to investors and policy makers alike, where policy markets should aim for more fully-fledged policies to enhance the resilience of their financial markets o external shocks to stop capital outflows during financial turbulence times