This paper examines mean-to-mean, volatility-to-mean and volatility-to-volatility spillover effects for the stock markets of BRIC countries. External and internal spillovers of returns and volatilities are estimated using 4-dimensional BEKK-GARCH-in-mean model. The model also includes the returns of stock markets in the USA, Germany, Japan and the MSCI Emerging market index, as well as time-return interaction terms which allow taking into account the dynamics of their influence on BRIC stock markets during pre-crisis, crisis and recovery time periods. Some evidence for the famous ‘decoupling’ phenomenon is found. The research contributes to the literature on spillover effects by using multivariate GARCH models.