Commonality in BRICS Stock Markets’ Reaction to Global Economic Policy Uncertainty : Evidence from a Panel GARCH Model with Cross Sectional Dependence

The rapid growth of BRICS has increasingly integrated their markets into the global economy. Thus, making their financial markets more vulnerable to external shocks such as global economic policy uncertainties. In this light, this study examines BRICS stock markets’ response to global economic policy uncertainty from 2017 to 2022 using the panel GARCH model. The results show that a rise in global economic policy uncertainty significantly raises volatility of the stock markets with homogeneous response across the markets. One major implication of the findings is that the BRICS can develop a joint policy for mitigating spillovers from policy uncertainties