This study explores the connectedness between selected emerging equity markets (BRIC-T) and the
Emerging Markets Financial Stress Index (EMFSI). We aim to reveal the extent of spillovers from stock
market indices to aggregated financial tension in these countries. Empirical investigations are executed
through Quantile Vector Autoregression analysis. Results show that spillovers occur mainly during extreme
negative and positive return periods. When we focus on four important phases, namely Global Financial
Crisis (GFC), the Euro Area Sovereign Debt Crisis, the COVID-19 pandemic, and the Russia-Ukraine war,
three countries come to the fore. While Brazil has had a substantial and persistent impact across the years,
during the GFC, two other countries, Russia and Türkiye, seem to induce positive return spillovers toward
emerging markets’ stress. This impact becomes bilateral in Russia (both in positive and negative returns)
during the pandemic and the Russia-Ukraine war. Thus, we conclude that among the examined market
economies, negative or positive return transmissions to emerging market stress are led mainly by Brazil and
Russia. The importance of energy sources and political factors can account for this result.