<p>This study attempts to explore the financial connectedness of the different industries of similar countries of BRICS economies. Using the Time Varying Parameters – Vector Autoregressive (TVP-VAR) connected approach, financial connected is measured within the industries. The data time frame is taken for 14 years starting from 1/2012 to 12/2024. The findings reveal that, Brazil’s Basic Materials and Industrial sectors are net disseminators of volatility spillover, whereas the country’s Energy and Utilities sectors are net receivers. Comparably, Russia’s Basic Materials, Energy, and Oil &amp; Gas sectors are net recipients of volatility, whereas the Chemicals sector is a net distributor of spillover volatility. Additionally, India’s Basic Materials and Energy sectors show the role of a net disseminator of volatility, while the Oil &amp; Gas and Automobile industries show the role of a net receiver of volatility. Additionally, China’s Chemicals, Households &amp; Textiles, Automobiles &amp; Parts, and Energy depict the role of being net disseminators of volatility, whilst Basic Materials, Industrials, Energy, and Oil &amp; Gas represent the role of being net receivers of volatility. Despite this, the results also demonstrate that the industries within countries were also interconnected in the COVID-19 pandemic period. The findings provide useful guidance for risk management, investment decisions, and policy interventions for investors, legislators, portfolio managers, and industry practitioners. </p>