Economic Policy Uncertainty and Stock Market Co-Movements in BRIC Countries: Evidence from Wavelet Coherence and Rolling Bootstrap Granger Causality

Authors

  • Houssem Ben-Ammar University of Sousse, Faculty of Economic Sciences and Management, Tunisia. , Research Laboratory for Economy, Management and Quantitative Finance (LaREMFiQ), IHEC – University of Sousse, Tunisia Corresponding Author
  • Riadh El Abed University of Tunis El Manar, Faculty of Economic Sciences and Management, Tunisia. , Laboratoire d'Economie du développement durable, des ressources naturelles et d'agriculture (LEDDRNA), FSEGT, Tunisia Author

DOI:

https://doi.org/10.47654/v30y2026i1p103-135

Keywords:

EPU, Stock Returns, Wavelet coherence, Bootstrap rolling window

Abstract

Purpose: The relationship between economic policy uncertainty (EPU) and stock returns in the BRIC countries (Brazil, Russia, India, and China) is examined by analyzing both static and dynamic interactions across different time horizons, with particular attention to major global crises.

Design/methodology/approach: Monthly data from 2004 to 2022 are used, and wavelet coherence analysis is applied together with bootstrap rolling-window and full-sample Granger causality tests to assess the dynamic and causal links between EPU and stock returns.

Findings: The results show unidirectional causality from EPU to stock returns in Brazil, Russia, and India. In these countries, higher policy uncertainty reduces stock returns, while no significant causal relationship is found for China. Wavelet coherence results reveal strong short-term co-movements during crisis periods, medium-term synchronization in India and Russia, and persistent long-term correlations in China. The findings highlight the time-varying nature of the EPU–return relationship and its sensitivity to global shocks and institutional conditions.

Originality/value: By integrating wavelet coherence with bootstrap rolling-window Granger causality, the study provides a multi-scale and dynamic framework for analyzing the EPU–stock return nexus in BRIC economies, offering useful insights for portfolio management, risk assessment, and decision-making in the field of Decision Sciences.

Practical/Social implications: The results suggest that investors adopt horizon-sensitive investment strategies, while policymakers improve policy transparency and communication to limit market volatility. Opportunities for future sectoral and cross-market research are also highlighted.

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Published

2026-02-03

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Vol. 30 No. 1 (2026): Advances in Decision Sciences

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How to Cite

Ben-Ammar, H., & El Abed, R. (2026). Economic Policy Uncertainty and Stock Market Co-Movements in BRIC Countries: Evidence from Wavelet Coherence and Rolling Bootstrap Granger Causality. Advances in Decision Sciences, 30(1), 103-135. https://doi.org/10.47654/v30y2026i1p103-135