Beyond averages: Quantile connectedness between G7 equity markets and derivative tokens

Shoaib Ali and Jinxin Cui

Journal of Behavioral and Experimental Finance, 2025, vol. 46, issue C

Abstract: Using the novel Quantile VAR connectedness approach, this paper investigates the connectedness between G7 equity markets and derivative tokens across various quantiles. Empirical results demonstrate that the spillovers at the higher and lower quantiles are significantly higher than at the mean and median quantiles. Except for Japan, other G7 equity markets are net transmitters, while the derivative tokens are net recipients. The dynamic connectedness indices vary with time and quantiles and they are more volatile at the extreme quantiles. The optimal hedging strategy offers higher risk reduction effectiveness, especially the US equity-token pairs. Our findings offer implications for various stakeholders.

Keywords: Quantile connectedness; G7 equity markets; Derivative tokens; Portfolio analysis (search for similar items in EconPapers)
JEL-codes: C32 G1 G13 G15 Q4 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:46:y:2025:i:c:s2214635025000115

DOI: 10.1016/j.jbef.2025.101030

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