Financial contagion and networks among the oil and BRICS stock markets during seven episodes of crisis events

In this study, we contribute to the existing literature on Brent Crude oil and BRICS stock markets by introducing a novel approach for testing financial market contagion, known as the multipledependence test. This innovative test simultaneously considers changes in linear, asymmetric, and extremal dependences during crisis periods. By employing this test, we construct contagion networks to gauge the degree of influence among markets within the network system. Our findings unveil that US-sourced crises exert a greater impact on BRICS stock markets compared to non-US-sourced crises. Notably, through dynamic contagion analysis, we ascertain that USsourced financial crises affect approximately 50% of crisis days on average in the BRICS equity markets, whereas the impact of non-US-sourced crises varies based on their severity and characteristics. Additionally, our exploration of network analysis reveals that US-sourced crises demonstrate more prominent source node attributes within the network encompassing BRICS equity markets, in contrast to non-US-sourced crises.