This paper investigates the dynamic and asymmetric connectedness between major foreign exchange rates (RUP, RUB, REAL, YUAN, RAND) and BRICS stock market returns. An asymmetric TimeVarying Parameter Vector Autoregression (TVP-VAR) model is employed alongside bootstrap rolling-window Granger causality tests and a risk-based portfolio assessment. The findings reveal strong interconnectedness during normal market conditions, with the weakest linkages observed in negative-return regimes, suggesting potential diversification benefits. RAND and BOVESPA emerge as key transmitters of spillovers in normal and bear phases, whereas RUB becomes the dominant shock contributor during bull markets. Most market pairs exhibit bidirectional causality, except BOVESPA– REAL and SSE–YUAN. Geopolitical events such as COVID-19 and the Russia–Ukraine war amplify causal intensities. Portfolio results show RUB/RAND as the costliest pair, YUAN/REAL as the cheapest, and RUB/BSE as the strongest hedging combination with the highest Sharpe ratio.

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