Extreme risk contagion from the United States to BRICS stock markets: A multivariate quantile analysis

This paper explores the transmission of risk from the United States equity market to the equity markets of the BRICS countries (Brazil, Russia, India, China, and South Africa) using a multivariate quantile process. The focus is on the contagion effect at the extreme quantiles, both upside and downside. In addition, a pseudo-impulse-response function (PIRF) analysis is conducted to investigate the responses of the five emerging stock markets to a shock in the US market. The results reveal an asymmetric pattern of underlying tail dependence from three different perspectives: the sign of the effect in response to external shocks at various quantiles, the extent and persistence of the effect, and a shift in dependency structure across different market phases. The paper also discusses the implications of these findings for investors and policymakers in terms of portfolio holdings and policy coordination.