Time-varying spillover dynamics between cryptocurrencies and BRICS equity markets

This study examines time-varying return and volatility spillovers between major cryptocurrencies and BRICS equity markets (2018–2025) using a TVP-VAR framework. The results indicate substantial interconnectedness, with volatility spillovers exceeding return spillovers. Bitcoin and Ethereum emerge as key transmitters, while BRICS equity markets, especially India and China, predominantly act as net receivers. Descriptive crisis-period comparisons indicate higher connectedness during the COVID-19 pandemic and the Russia-Ukraine conflict. These results highlight the evolving nature of cross-market transmission and provide insights into portfolio diversification, risk management, and financial stability in increasingly integrated financial markets.