Does BRICS Membership Reshape Financial Spillovers? Evidence from Price and Volatility Dynamics in Emerging Markets

This study examines whether BRICS membership leads to a structural change in financial spillover dynamics among emerging capital markets. Price and volatility spillovers from China and India to new members Egypt, Saudi Arabia, and the United Arab Emirates have been analyzed using daily benchmark index data. Pre-membership and post-membership periods were compared; price interactions were evaluated using the Toda-Yamamoto causality test, while volatility transmission was assessed with the Diagonal BEKK-GARCH model. The findings demonstrate that price-based causality relationships, which were limited in the pre-membership period, did not change significantly following membership. Similarly, no pronounced differentiation was detected in volatility spillovers. It was determined that the significant transmission observed from China to the UAE in the pre-membership period disappeared following membership. Consequently, BRICS membership does not have a transformative effect on the financial spillover structure in the short term.