Spillovers and contagion between BRIC and G7 markets: New evidence from time-frequency analysis.

ABSTRACT: We examine the time-frequency spillovers, contagion, and pairwise interrelations between the BRIC index and its constituents, and between BRIC and G7 economies. The extent of interdependencies between market blocs and their constituents needs to be ascertained in the time-frequency domain for efficient asset allocation and portfolio management. Accordingly, the Baruník and Křehlík spillover index is employed with daily data between 11th December 2015 and 28th May 2021. We find the overall and net spillovers between BRIC and G7 to be significant in the short-term, with France, Germany, and the UK transmitting the greatest shocks to BRIC markets. We find no significant evidence of any sporadic volatilities for the studied markets in the COVID-19 period across all frequencies. However, we rev

SUBMITTER: Agyei SK 

PROVIDER: S-EPMC9328562 | biostudies-literature | 2022

REPOSITORIES: biostudies-literature