TIME–FREQUENCY CONNECTEDNESS IN GLOBAL BANKING: VOLATILITY AND RETURN DYNAMICS OF BRICS AND G7 BANKS

Wael Dammak, Halilibrahim Gã–kgã–z () and Ahmed Jeribi ()
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Wael Dammak: CERFIM, ESLSCA Business School, Paris 75019, France
Halilibrahim Gã–kgã–z: Faculty of Economics and Administrative Sciences, Afyon Kocatepe University, Afyonkarahisar 03200, Turkey
Ahmed Jeribi: Faculty of Economics and Management of Mahdia, University of Monastir, Monastir 5000, Tunisia

Global Economy Journal (GEJ), 2025, vol. 25, issue 01n02, 1-37

Abstract: Addressing recent disturbances in the global financial landscape, this paper investigates volatility and return spillovers within the banking indices of BRICS and G7 countries using a time-varying parameter autoregressive model. We analyze daily bank stock indices from January 2018 to October 2023, focusing on the role of interconnectedness in shaping global financial stability, particularly during significant events. Our empirical findings shed light on the dynamic nature of volatility and return spillovers between the banking sectors of these countries. These interconnections are notably influenced by specific countries and are significantly affected by turbulent events. The connectedness among the indices shows varying patterns across different time frequencies, with short-term and intermediate–long-term connectedness displaying distinct characteristics, especially during periods of global shocks. This heterogeneity underscores the complexity of financial market responses over different time horizons during crises. The study reveals that the connectedness among these indices is dynamic, showing considerable changes over time. We find that national banking indices frequently switch roles, oscillating between being net transmitters and receivers of volatility. This finding emphasizes the need to account for the varied impacts of global events on financial markets across different time frames. The research highlights the critical importance of understanding the interconnectedness in global banking markets and advocates for a dynamic approach by investors and policymakers in financial markets, stressing the necessity to adapt strategies to the continuously evolving market scenarios.

Keywords: Return spillovers; volatility connectedness network; banking indices; financial crises; time–frequency connectedness (search for similar items in EconPapers)
JEL-codes: G01 G11 G15 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1142/S2194565925500046

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