A Wavelet Perspective of Crisis Contagion between Advanced Economies and the BRIC Markets

This paper investigates the relationship between BRICs’ and advanced economies’ stock markets from 2000 to 2016 utilizing continuous wavelet transform. The transform allows us explore these relationships in time–frequency domain capture short- long-term investors’ perspectives. Bi-directional spillovers are captured terms of returns volatility. In addition covering periods dot.com crash, 11 September 2001 events, pre-2007 financialization bubble period resulting Global Financial Crisis, we study volatility arising BRIC, U.S. European market shocks post Crisis. Based on our results, confirm findings relatively fragmented literature that document time-varying imperfect BRIC markets’ integration with mature economies. Overall, show arbitrage opportunities continue exist international portfolios respect assets. a major literature, captures markets, as well contagion markets.