  This study uses data from the BRICS stock market index, cryptocurrencies, and
investor sentiment indicators from January 6, 2015, to June 29, 2023. BRICS
nations emerge as pivotal representatives of emerging economies. This study
employs a time-varying parameter vector autoregression model to unravel the
intricate interdependence between traditional stock assets and the evolving
landscape of cryptocurrencies. The analysis investigates spillover effects
between BRICS stock markets and cryptocurrencies, revealing increasing
interconnectedness during highly uncertain events like COVID-19, but no
significant impact on major US stock market indices.
