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

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

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 (...

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Bibliographic Details
Main Authors: Neenu Chalissery, T. Mohamed Nishad, J. A. Naushad, Mosab I. Tabash, Mujeeb Saif Mohsen Al-Absy
Format: Article
Language:English
Published: MDPI AG 2024-12-01
Series:Risks
Subjects:
time-varying correlation
spillover
market crisis
U.S.
BRIC
TVP-VAR
Online Access:https://www.mdpi.com/2227-9091/12/12/202
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https://www.mdpi.com/2227-9091/12/12/202

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