The Spillover Effect of Global Uncertainty on BRICS Stock Markets

Using monthly data spanning from 1993 to 2021 and employingthe DCC-GARCH model, this study examines the role ofEconomic Policy Uncertainty (EPU) as a potential exogenousfactor impacting correlation of Brazil, Russia, India, andChina (BRIC) economies’ stock markets, which is new theliterature. Further, dynamic series used adependent variable while EPU BRIC USA anindependent by utilizing autoregressive distributedlag (ARDL) model. The finds positive significantshort-run well long-run impact Russia’s theUS’s on their markets. In other words, EPUof increases, with USAStock Market World Stock suggestingminimum diversification opportunities for investors. Thestudy also recommends that investors diversify portfoliosby considering cross borders assets avenues gain maximumreturns reduce portfolio risk.JEL Classification: E44, C32, E52, E60, E62, C58How Cite:Nawaz, A. D., Bhutto, N. A., & Khan, S. (2023). Spillover Effect Global BRICS Markets. Etikonomi, 22(1), 45–64. https://doi.org/10.15408/etk.v22i1.24617.