Dynamic Return Connectedness and Hedging Strategies Between <scp>WTI</scp> and <scp>BRICS</scp> Stock Markets

ABSTRACT This paper applies an innovative TVP‐VAR network approach to examine the dynamic spillover and portfolio performance between crude oil prices and BRICS stock markets, revealing significant levels of return transmission and integration between WTI and the BRICS system. Using data from January 4, 2016, to January 5, 2024, we find that overall market connectivity is higher during both bearish and bullish conditions compared to normal periods. Additionally, WTI plays a substantial role in reducing portfolio volatility. Finally, our results show that minimum connectedness consistently outperforms other strategies in terms of risk management and portfolio efficiency.