Quantile and asymmetric return connectedness among BRICS stock markets
Kingstone Nyakurukwa and
Yudhvir Seetharam
The Journal of Economic Asymmetries, 2023, vol. 27, issue C
Abstract:
We investigate the quantile and asymmetric return connectedness among the BRICS stock exchanges between 1 January 2002 and 31 December 2022. Over the years the BRICS stock markets have become emerging market choices for global investors interested in international diversification. As a result, the characteristics of these markets and how they interact with each other are important to international investors. We use quantile connectedness to examine return spillovers, particularly at the extreme left and right tails, as opposed to connectedness in the middle. The group's level of return connectedness, as determined by mean-based connectedness measures is only 30.58%. However, we find that levels of quantile-connectedness are substantially higher when using a unique quantile-based connectedness technique, more than doubling to more than 70% at the extreme upper and lower tails respectively. We also utilise a novel asymmetric connectedness approach that disaggregates overall connectedness into its positive and negative constituents. Positive return connectedness is more pronounced than negative return connectedness.
Keywords: Quantile connectedness; Return spillovers; BRICS; Emerging markets; Financial markets contagion; TVP-VAR (search for similar items in EconPapers)
JEL-codes: F36 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000154
DOI: 10.1016/j.jeca.2023.e00303
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