BRICS Property Returns and Geopolitical Risk: A Dynamic Connectedness and Transmission Analysis of Events

This study examines the network dynamics and shock transmission in the relationship between BRICS property market returns and geopolitical risk indicators, applying a time-varying parameter vector autoregression (TVP-VAR) method. The goal of this study is to investigate the dynamic connectedness and shock transmission between geopolitical risk and property returns in BRICS countries, with further insight into how geopolitical events lead to risk transmission. Using monthly data from February 2011 through June 2025 and isolating two tension periods after COVID-19, 2022 and 2024, we investigate geopolitical events and their shock transmissions. The findings illustrates the complexity of shifting geopolitical tensions and their effects on cross-market spillovers. That being, there exists moderate but economically significant systemic interconnectedness, with approximately half of the forecast error variance explained by cross-market shocks. This study further provides robust empirical evidence on the direct effects of geopolitical risk on BRICS property markets and their dynamic interconnectedness. Geopolitical risk especially originating from Russia and China, is found to be the key net transmitter of shocks to the region, whereas Brazil, India, and South Africa are the main net receivers. The results add to the evidence of regime-dependent spillovers, magnified by major geopolitical episodes such as the Russia–Ukraine war and the 2024 expansion of BRICS. Property markets are more vulnerable to geopolitical instability, showing their susceptibility to external risk spread. This study has implications for the sustainability and financial stability literature by emphasising the systemic nature of geopolitical risk in property markets, and it provides practical guidance for portfolio diversification, risk management and policy coordination in the BRICS bloc.