Abstract
This paper assesses the extent of the transmission of financial shocks between South Africa and
other members of the BRICS grouping in order to infer the degree of contagion during the
period 1996-2012. The paper makes use of a multivariate VAR-DCC-GARCH model to this
end. The paper finds evidence of cross-transmission and dependence between South Africa and
Brazil. However, the empirical results show that South Africa is more affected by crises
originating from China, India and Russia while these countries are least affected by crises
originating from South Africa. The findings of this paper should be of interest to policy makers
in the BRICS grouping should they be considering the possibility of full capital market
liberalization and to the international investor who is looking at diversifying portfolios in the
BRICS grouping.