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Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network

Author

Listed:
  • Rabeh Khalfaoui

    (ICN Business School, CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine)

  • Shawkat Hammoudeh

    (Drexel University)

  • Mohd Ziaur Rehman

    (KSU - King Saud University [Riyadh])

Abstract

In this study we advance the understanding of the spillovers and connectedness network among conventional and Islamic BRICS stock markets, cryptos (Bitcoin, Ethereum, Litecoin) and various global uncertainties, using a quantile vector autoregression method and daily data covering the period October 8, 2016, to May 28, 2021. Further, the study uses a network and sensitivity analyses to assess the nexus, examines risk causes, and the transfer paths in these markets under bearish, normal, and bullish markets. The evidence offers major findings. First, the overall static and dynamic connectedness is very high and more intense at extreme events. Second, the network connectedness structure shows that the markets have played both roles: net transmitters and receivers of shocks under several market states. Finally, the sensitivity to quantiles analysis shows switching behavior of net transfer spillovers over the quantiles. This could be beneficial to investors aiming at optimizing hedging strategies. Policymakers should consider carefully the overall network connectedness in the market system and formulate appropriate policies to conceive stock market price sensitivity.

Suggested Citation

  • Rabeh Khalfaoui & Shawkat Hammoudeh & Mohd Ziaur Rehman, 2023. "Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network," Post-Print hal-03998222, HAL.
    • Handle: RePEc:hal:journl:hal-03998222
    DOI: 10.1016/j.ememar.2023.101002
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    Citations

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    Cited by:

    1. Będowska-Sójka, Barbara & Górka, Joanna & Hemmings, Danial & Zaremba, Adam, 2024. "Uncertainty and cryptocurrency returns: A lesson from turbulent times," International Review of Financial Analysis, Elsevier, vol. 94(C).
    2. Alomari, Mohammed & Selmi, Refk & Mensi, Walid & Ko, Hee-Un & Kang, Sang Hoon, 2024. "Dynamic spillovers in higher moments and jumps across ETFs and economic and financial uncertainty factors in the context of successive shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 210-228.
    3. Su, Xianfang & Chen, Meixia, 2024. "Financial connectedness in BRICS: Quantile effects and BRICS SUMMIT impacts," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    4. Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2024. "Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 302-315.
    5. Wei Wang & Haibo Wang, 2024. "Interconnected Markets: Exploring the Dynamic Relationship Between BRICS Stock Markets and Cryptocurrency," Papers 2406.07641, arXiv.org.
    6. Almeida, José & Gaio, Cristina & Gonçalves, Tiago Cruz, 2024. "Crypto market relationships with bric countries' uncertainty – A wavelet-based approach," Technological Forecasting and Social Change, Elsevier, vol. 200(C).
    7. Zhao, Wandi & Gao, Yang, 2024. "Dynamic patterns and the latent community structure of sectoral volatility and jump risk contagion," Emerging Markets Review, Elsevier, vol. 59(C).
    8. Patel, Ritesh & Gubareva, Mariya & Chishti, Muhammad Zubair & Teplova, Tamara, 2024. "Connectedness between healthcare cryptocurrencies and major asset classes: Implications for hedging and investments strategies," International Review of Financial Analysis, Elsevier, vol. 93(C).
    9. Patel, Ritesh & Goodell, John W. & Chishti, Muhammad Zubair, 2023. "Assessing connectedness of transportation cryptocurrencies and transportation stocks: Evidence from wavelet quantile correlation," Finance Research Letters, Elsevier, vol. 58(PC).
    10. Hoque, Mohammad Enamul & Soo-Wah, Low & Billah, Mabruk, 2023. "Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications," Energy Economics, Elsevier, vol. 127(PB).

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