Quantile connectivity between cryptocurrency, commodities, gold and BRICS index: what is the best investment strategy?

Mariem Bouzguenda () and Anis Jarboui ()
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Mariem Bouzguenda: Faculty of Economics and Management of Sfax
Anis Jarboui: University of Sfax

Eurasian Economic Review, 2025, vol. 15, issue 1, No 5, 125-161

Abstract: Abstract Motivated by the concept of an investment portfolio, BRICS is an influential combination of emerging countries that have a say in global economic issues. In this context, the present study is designed to retrieve the most optimally effective portfolio strategy fit for hedging the BRICS stock indices via Bitcoin, gold, WTI, and Gas during crisis times. For this purpose, we consider applying the novel quantile connectivity approach, initially developed by Chatziantoniou, I., Gabauer, D., & Stenfors, A., Econ. Lett., 204, 109891, to investigate the study period ranging from January 2, 2016 to July 28, 2023, marked with the prevalence of various stress occurrences, particularly, the COVID-19 outbreak, the Russian-Ukrainian war, as well as the banking crisis. Our reached results clearly turn out to reveal the persistence of an unstable relationship binding the BRICS assets, bitcoin, gold, WTI, and gas, fluctuating following extremely stressful and unexpected event occurrences. The empirical findings also highlight the predominance of divergent responses in regard to the examined assets (as shocks receivers or transmitters), depending on the war or the pandemic intensity crises. Accordingly, portfolio managers are recommended to account for shock-emitting assets as diversifier properties, and shock-receiving assets as safe haven properties, while gold, bitcoin, and BSE30 turn out to stand as major shock transmitters throughout the recent banking crisis.

Keywords: BRICS indices; COVID-19; Russia–Ukraine war; 2023 banking crisis; Novel quantile connectivity approach (search for similar items in EconPapers)
JEL-codes: C22 C5 G1 G15 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s40822-024-00290-y

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