Abstract
ABSTRACTThrough the existence of supply chain relationships among BRICS (Brazil, Russia, India, China and South Africa), we explore the industry return co-movements of the BRICS markets and the impacts of BRICS-related events on the time-varying conditional correlation and volatility. We find that BRICS-related events have increased industry co-movements and substantially reduced volatility. An asymmetry in industry return co-movements shows a strong response to good news. The first formal BRICS summit in 2009 is the most dominant event influencing BRICS industry co-movements, while there is a significant decline in correlations during the 2013 BRICS event. The financial industries of BRICS have the highest co-movements among sampled industries.
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