Do Volatilities Matter in the Interconnectedness between World Energy Commodities and Stock Markets of BRICS?

Financial markets integration has resulted in high interconnectedness among the BRICS stock markets, which minimizes diversification potentials. This increased investors’ interest financialization of commodities to minimize their portfolio risks. However, comovements between these assets do not operate a vacuum, requires that role volatilities be considered tandem. The purpose this study is explore interdependencies energy and midst relevant volatilities. For reason, wavelet techniques, biwavelet partial wavelet, are employed. We find positive become stronger long-term. Furthermore, volatility long-term impact on correlations market. argue US Volatility Index, measures investor anxiety biggest relationship markets. Surprisingly, Russian were strong enough withstand effects Hence, investors can use hedge risks Brazil, India, China, South Africa.