Balcilar, MehmetBonato, MatteoDemirer, RizaGupta, Rangan2018-07-172018-06Balcilar, M., Bonato, M., Demirer, R. & Gupta, R. 2018, 'Geopolitical risks and stock market dynamics of the BRICS', Economic Systems, vol. 42, no. 2, pp. 295-306.0939-3625 (print)1878-5433 (online)10.1016/j.ecosys.2017.05.008http://hdl.handle.net/2263/65768This paper examines the effect of geopolitical uncertainty on return and volatility dynamics in the BRICS stock markets via nonparametric causality-in-quantiles tests. The effect of geopolitical risks (GPRs) is found to be heterogeneous across the BRICS stock markets, suggesting that news regarding geopolitical tensions do not affect return dynamics in these markets in a uniform way. GPRs are generally found to impact stock market volatility measures rather than returns, and often at return quantiles below the median, indicating the role of GPRs as a driver of bad volatility in these markets. While Russia bears the greatest risk exposure to GPRs in terms of both return and volatility, India is found to be the most resilient BRICS nation in the group. Noting that geopolitical shocks and in particular terrorist incidents are largely unanticipated, our findings underscore the importance of a strong financial sector that can help return the market to stability and an open economy that allows local investors to diversify country-specific risks in their portfolios.en© 2018 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economic systems. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Economic Systems, vol. 42, no. 2, pp. 295-306, 2018, doi : 10.1016/j.ecosys.2017.05.008.Economic Freedom Index (EFI)Foreign direct investment (FDI)Value added components of GDPGross domestic product (GDP)EuropeEconomic freedomBrazil, Russia, India, China and South Africa (BRICS)Postprint Article