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

Yıl 2026, Cilt: 15 Sayı: 1, 49 - 71, 12.03.2026

Gökhan Berk Özbek

https://doi.org/10.65653/ekonomitek.1826074

https://izlik.org/JA88ZR53BR

Öz

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.

Anahtar Kelimeler

BRICS , financial spillover , market integration , volatility transmission , Toda-Yamamoto , BEKK-GARCH

Etik Beyan

This study has been prepared in accordance with the rules of scientific research and publication ethics.

Destekleyen Kurum

Scientific and Technological Research Council of Turkey (TÜBİTAK)

Proje Numarası

1919B022506935

Teşekkür

The author gratefully acknowledges TÜBİTAK for the support and grant provided.

BRICS Üyeliği Finansal Yayılımları Yeniden Şekillendiriyor mu? Gelişmekte Olan Piyasalarda Fiyat ve Volatilite Dinamiklerinden Bulgular

https://izlik.org/JA88ZR53BR

Öz

Bu çalışma, BRICS üyeliğinin gelişmekte olan sermaye piyasaları arasındaki finansal yayılım dinamiklerinde yapısal bir değişime yol açıp açmadığını incelemektedir. Çin ve Hindistan’dan yeni üyeler Mısır, Suudi Arabistan ve Birleşik Arap Emirlikleri’ne yönelik fiyat ve volatilite yayılımları, günlük gösterge endeks verileri kullanılarak analiz edilmiştir. Üyelik öncesi ve sonrası dönemler karşılaştırılmış; fiyat etkileşimleri Toda–Yamamoto nedensellik testiyle, volatilite geçişkenliği ise Diyagonal BEKK-GARCH modeliyle değerlendirilmiştir. Bulgular, üyelik öncesinde sınırlı olan fiyat temelli nedensellik ilişkilerinin üyelik sonrasında anlamlı biçimde değişmediğini göstermektedir. Benzer şekilde volatilite yayılımlarında da belirgin bir farklılaşma tespit edilmemiştir. Üyelik öncesinde Çin’den BAE’ye gözlenen anlamlı aktarımın üyelik sonrasında ortadan kalktığı belirlenmiştir. Sonuç olarak, BRICS üyeliğinin kısa vadede finansal yayılım yapısında dönüştürücü bir etkisi bulunmamaktadır.

Anahtar Kelimeler

BRICS , finansal yayılım , piyasa entegrasyonu , volatilite geçişkenliği , Toda-Yamamoto , BEKK-GARCH

Etik Beyan

Bu çalışma bilimsel araştırma ve yayın etiği kurallarına uygun olarak hazırlanmıştır.

Destekleyen Kurum

Türkiye Bilimsel ve Teknolojik Araştırma Kurumu (TÜBİTAK)

Proje Numarası

1919B022506935

Teşekkür

Yazar, sağladıkları destek ve hibe nedeniyle TÜBİTAK’a teşekkürü bir borç bilmektedir.

Kaynakça

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