Abstract: The BRIC countries (Brazil, Russia, India and China) are representations of the emerging markets. Financial contagion and stability from the perspective of the dependence of the analyzed countries on the global systemic risk was characterized, with the MSCI Global Index representing the global systemic risk factor. The dependency structure of the BRIC’s major indexes and the MSCI global index was analyzed, and an empirical analysis of the financial stability of the BRIC countries was performed. To analyze the structural changes of systemic risk impact on the BRIC countries, R-vine copula was used to test the change point and analyze the financial contagion and stability of the BRIC countries affected by the financial crisis and BRICs events. The financial stability among BRIC countries was measured using the correlation coefficient based on the MSCI index. The empirical results show that after the control of systemic risk, the independence of the BRIC countries’ stock markets has been strengthened. The BRIC countries have been hit harder by systemic risks after the financial crisis. Strengthening BRIC countries’ cooperation will help to reduce the risk of the affection between BRIC countries.

Key words: financial contagion and stability, BRIC countries, R-vine copula, change-point testing