ABSTRACT The study examines the time‐frequency connectedness between oil and stock prices in the expanded BRICS countries (EBRICS). Using the time‐varying parameter vector autoregression (TVP‐VAR) frequency‐based connectedness approach of Chatziantoniou et al. (2021), we account for multiple dimensions of uncertainty, including economic policy uncertainty (EP), geopolitical risk (GP), their interaction (EGP), and broader indices of financial (FU), macroeconomic (MU), and real uncertainty (RU) in the oil‐stock connectedness. Findings reveal heterogeneous but systematic spillover patterns. In the EBRICS bloc, oil, China, and Saudi Arabia are persistent net recipients of shocks, while Brazil, Russia, and South Africa are key transmitters. The UAE shows a mixed role, transmitting in the short‐term but receiving in the long‐term. We date‐stamp high levels of connectedness between oil and stock markets in periods coinciding with critical global phenomena such as the GFC, the energy crisis, and the pandemic, for both the total connectedness indexes (TCIs) returns and volatility. Accommodating baseline uncertainty (EP, GP, EGP), total connectedness is generally dominated by short‐term spillovers, while under alternative measures (FU, MU, RU), spillovers become more persistent and long‐term driven. Comparisons with the original BRICS show that excluding new members yields tighter, short‐lived spillovers, while the inclusion of Egypt, Saudi Arabia, and the UAE shifts the connectedness towards long‐term persistence under uncertainty. Uncertainty indicators reshape the oil‐stock connectedness and affect the magnitude of the TCIs. The study informs practical implications.
Adeosun et al. (Tue,) studied this question.