Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict

• The volatility contagion between the US and five BRICS stock markets is investigated in the context of the COVID-19 pandemic and the Russo-Ukrainian crisis. • Market evolution phases are identified through the Markov-switching dynamic regression method • We further employ a dynamic conditional correlation process to uncover time-varying volatility spillovers, relying on the implied volatility induced by daily changes in the investigated markets. • Empirical results indicate that market spillovers during the two crises present quite different scenarios. This study examines volatility contagion between the US and five BRICS stock markets during the COVID-19 pandemic and the Russo-Ukrainian crisis. We first use the Markov-switching dynamic regression method to endogenously identify various phases of market evolution. Then, we employ a dynamic conditional correlation process to uncover time-varying volatility spillovers relying on the implied volatility induced by daily changes in the investigated markets. Empirical results indicate that market spillover during the two crises presents quite different scenarios. The US has a more significant and persistent contagion effect on the BRICS markets during COVID-19. However, only a short-lived and pulse-like market response is detected in the initial stage of the Russo-Ukrainian crisis, and the volatility interdependency structures do not follow a specific pattern across all implied volatility pairs.