  We investigate the relationships of the VIX with US and BRIC markets. In
detail, we pick up the analysis from the point left off by (Sarwar, 2012), and
we focus on the period: Jan 2007 - Feb 2018, thus capturing the relations
before, during and after the 2008 financial crisis. Results pinpoint frequent
structural breaks in the VIX and suggest an enhancement around 2008 of the fear
transmission in response to negative market moves; largely depending on
overlaps in trading hours, this has become even stronger post-crisis for the
US, while for BRIC countries has gone back towards pre-crisis levels.
