Artificial Intelligence vs the American Market: Unveiling Shock Transfer Mechanisms to Emerging Markets Through Quantile VAR and Frequency Analysis

This study investigates the interconnectedness of nine BRICS+ stock indices from 2016 to 2024, focusing on two systems: one includes the S&P 500, and the other the S&P Kensho Artificial Intelligence Enablers & Adopters Index (S&P AI). We analyze return spillovers and dynamic market interactions across conditions using quantile VAR-based and time-frequency connectedness approaches. The S&P AI index is a pivotal net shock transmitter in the BRICS+ network, underscoring the influence of emerging technologies on global markets. Furthermore, events such as the COVID-19 pandemic and the Russia-Ukraine conflict increased market co-movement and connectedness. Our findings offer insights into the dynamic relationships between traditional and technology-driven indices across diverse markets, providing a nuanced understanding of their dynamics.