ABSTRACT Over the past two decades, the economic influence of the BRICS countries has continued to grow. While the BRICS group is considered a political alliance and the members face large heterogeneity in development stages, the internal interactions among the BRICS members are ambiguous. Focusing on the sovereign bond markets, this paper conducts empirical research using the SUR model to investigate the inter-dependencies among the BRICS countries. The estimation results reveal the existence of inter-dependencies among the debt market in BRICS countries. Impulse response plots show that Russia-South Africa and India-China are the two country pairs to have mutual influence, with the Russia-South Africa pair being consistent on different time intervals. Among the BRICS countries, China is the only country interacting with other members at different time intervals. These findings suggest the growing internal development of the BRICS group.