A Nonlinear Approach to Quantifying Investor Fear in Stock Markets of BRIC

The information flow between BRIC and relevant volatilities constitutes a complex network, which needs comprehensive analysis. We provide rigorous investigation of among stock markets the US VIX in frequency-domain paradigm. Henceforward, variation mode decomposition-based entropy approach is employed for examination diverse investment horizons market conditions. First, we find that under stressed conditions (lower quantiles), significant negative exists constituents composite index. Also, benign conditions, reveal similar dynamics as found at lower quantiles, enhances diversification. However, during booms, document more positive assets to redeployment portfolios. Second, low probability events representing stress, potential amid most horizons. Notwithstanding, has transmitting markets. high performance, VIX, generally implying long-term efficiency. Investors, portfolio managers, risk policy-makers should be wary heterogeneous adaptive behaviour with VIX.