ABSTRACT This study aims to conduct an in‐depth analysis of the complex nonlinear dependence relationships between cryptocurrencies and gold within the stocks of BRICS countries. The study employs a GARCH‐EVT‐Vine‐Copula and wavelet coherence models to evaluate the interconnectedness, tail risk and Co‐movement pattern of these assets before and after the outbreak of COVID‐19. The findings reveal that, prior to COVID‐19, significant tail dependence existed between China's stock market, the cryptocurrency index, and the indices of India and Russia, while other indices exhibited only weak dependence. However, after the outbreak of COVID‐19, the tail dependence among variables became more pronounced. The South African stock market appears to have emerged as the center of extreme lower‐tail risk spillovers among the studied variables. During the COVID‐19 outbreak, cryptocurrency markets demonstrated stronger coherence with global stock markets than gold, especially in the US market, potentially compromising their diversification effectiveness. Furthermore, our empirical results were validated by the Kupiec test and the Christoffersen test. The results of this study not only enhance the theoretical understanding of risk management in emerging markets during periods of extreme market crises but also provide valuable insights for policymakers in formulating strategies to ensure financial market stability.
Jiale Yan (Sat,) studied this question.