Financial contagion and networks among the oil and BRICS stock markets during seven episodes of crisis events

• Published in: Journal of international money and finance 2024-06, Vol.144, p.103081, Article 103081
• Main Authors: Hsiao, Cody Yu-Ling, Chiu, Yi-Bin
• Format: Article
• Language: English
• Subjects: BRICS; Co-moments; Contagion; Financial crisis; Network
• ISSN: 0261-5606; 1873-0639
• DOI: 10.1016/j.jimonfin.2024.103081

•Using mutiple-dependence test to measure financial contagion of crisis events.•Contagion networks are constructed to gauge the degree of influence among markets.•The impacts of both US-sourced and non-US-sourced crises are considered.•The US-sourced crises exert a greater impact on BRICS stock markets. In this study, we contribute to the existing literature on Brent Crude oil and BRICS stock markets by introducing a novel approach for testing financial market contagion, known as the multiple-dependence test. This innovative test simultaneously considers changes in linear, asymmetric, and extremal dependences during crisis periods. By employing this test, we construct contagion networks to gauge the degree of influence among markets within the network system. Our findings unveil that US-sourced crises exert a greater impact on BRICS stock markets compared to non-US-sourced crises. Notably, through dynamic contagion analysis, we ascertain that US-sourced financial crises affect approximately 50% of crisis days on average in the BRICS equity markets, whereas the impact of non-US-sourced crises varies based on their severity and characteristics. Additionally, our exploration of network analysis reveals that US-sourced crises demonstrate more prominent source node attributes within the network encompassing BRICS equity markets, in contrast to non-US-sourced crises.