Sectoral Dependence and Financial Contagion in the BRICS Grouping: An Application of the R-Vine Copulas

• DOI: 10.1515/snde-2023-0098
• Publication Date: 2024-09-28T03:40:38Z
• Authors: Lumengo Bonga-Bonga; Johannes J. Hendriks
• Keywords: Vine copula; Vine; Financial contagion

Abstract This paper presents a novel approach utilising R-Vine copulas and tail dependence structures to distinguish between contagion interdependence amid equity market interrelation. The is applied in the case of BRICS markets. Moreover, rather than analysing markets aggregate, our focuses on sectoral levels within examine nature interrelation among them. Based volatilities, empirical findings indicate minimal events across various sectors These results are corroborated through portfolio optimisation, demonstrating that identified as sources receive lower weights portfolio. offers valuable insights for policymakers, investors, asset managers by shedding light interrelationships different potential investment strategies can be formulated based co-movement types these