2024
DOI: 10.20944/preprints202405.1986.v1
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Financial Contagion between Eurozone and BRICS Stock Markets under Multiscale Scrutiny

Olivier Niyitegeka,
Alexis Habiyaremye

Abstract: We use the Maximum Overlap Discrete Wavelet Transform (MODWT) to analyse the interconnectedness between the stock markets of continental Europe and the BRICS countries. More specifically, we examine the presence of financial contagion in the stock markets of Brazil, Russia, India, China, and South Africa subsequent to the EuroZone Sovereign Debt Crisis (EZDC). We find evidence of co-movement and volatility spillover at short time scales between the Eurozone equity market and the equity markets in South Africa … Show more

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