TIME-FREQUENCY LINKAGES BETWEEN INTERNATIONAL COMMODITIES AND THE BRICS EQUITY MARKETS

This paper aims to explore the time-frequency relationship between international crude oil, gold prices and financial markets in the BRICS countries. Using MGARCH-DCC and Wavelet Coherence transform frameworks, our findings reveal that the return correlations are time-varying in terms of different phases in the five nations except for the cases of the crude oil, gold prices and SSE, USDBRL, RTS, JSE, USDZAR, and exhibit both negative and positive relationship between the pairs of return series throughout the sample period. The graph of the values of conditional correlations shows higher correlations between the Chinese, Indian, Brazilian currencies and the international commodities market. The short periods of negative connectedness between crude oil, gold prices and the exchange rates are also observed. Furthermore, the results of wavelet coherence show that the international commodities market has a significant influence on the BRICS financial markets in the short run, but crude oil and gold variables impacted by stock and exchange markets in the BRICS in the long term. In addition, the findings of this paper have significant implications for portfolio management, as well as the financial risk management in the BRICS equity markets and provide straightforward insight for monetary and fiscal policies by taking into account the pressure of the international crude, gold prices generating on the stock and exchange rate markets.