Mapping complex interdependencies through higher order moments: Cross-market spillovers and shocks in BRICS

The interdependence of stock markets is crucial for systemic risk management and policy formulation. While most studies focus on returns and volatility, our paper explores higher-order moment risk linkages among BRICS equity markets. It also investigates how geopolitical conflicts affect the transmission of higher-order moments. The findings reveal that risk spillovers between these markets are time-varying, with kurtosis spillovers being more prominent than those from volatility and skewness. The dynamic evolution of these spillovers intensifies during major financial crises.