Market Resilience Unveiled: Insights from Quantile Time Frequency Connectedness into Emerging Countries Stock Indices

İhsan Erdem Kayral (), Melike Aktaş Bozkurt (), Sahar Loukil () and Ahmed Jeribi ()
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İhsan Erdem Kayral: Ostim Technical University
Melike Aktaş Bozkurt: Ostim Technical University
Sahar Loukil: University of Sfax
Ahmed Jeribi: University of Monastir

Journal of the Knowledge Economy, 2025, vol. 16, issue 2, No 66, 7815 pages

Abstract: Abstract This study provides an in-depth analysis of the dynamic connectedness among BRICS-plus stock indices, focusing on three distinct periods: pre-COVID-19 era, during the COVID-19 pandemic, and the Russia-Ukraine conflict. Utilizing the Quantile Vector Autoregressive (QVAR) connectivity approach, our methodology starts with the median quantile and systematically expands to various quantiles. This systematic progression allows us to comprehensively examine the temporal risk characteristics and interconnections across specific quantiles, enhancing our understanding through frequency domain analysis. Our findings reveal significant changes in the total connectedness index (TCI) and the roles of individual indices as either net transmitters or receivers of shocks during different crises. Particularly noteworthy is the resilience demonstrated by indices such as JTOPI, BVSP, TASI, and RTSI against risk transmission amidst the pandemic. Conversely, during the Russia-Ukraine conflict, BSE30, JTOPI, and ADX exhibited varying level of resilience. These insights underscore the sensitivity of financial markets to geopolitical events and highlight the importance of tailored risk management and investment strategies. The implications of our study are crucial for financial entities and policymakers aiming to optimize frameworks for market stability and risk mitigation in the face of global crises.

Keywords: QVAR; Time frequency connectedness; Emerging markets; Crises (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s13132-024-02188-1

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