Using the quantile connectedness approach for the median, lower, and upper quantiles, we examine the return and volatility connectedness between energy and BRIC markets from January 1, 2000, to July 9, 2021. We find that uncertain economic activity and intense periods characterize energy and BRIC market returns and volatility connectedness. A parallel return and volatility connectedness structure for upper and lower quantiles against the average quantile revealed different results. Time-varying features are substantiated between energy and BRIC markets; significant distress events, such as the Global Financial Crisis, European Debt Crisis, Shale Oil Revolution, and COVID-19 pandemic, intensified spillovers. We highlight diversification avenues for energy and BRIC markets given the periods of financial turmoil, with investors' concerns widely addressed by opt-in investment opportunities with lower risk and greater diversification. Our study has beneficial implications for policymakers, regulators, investors, and financial market constituents to redevelop their existing strategies to avoid financial losses.

Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness / Billah, M.; Karim, S.; Naeem, M. A.; Vigne, Samuel Alexandre. - In: RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE. - ISSN 0275-5319. - 62:(2022), pp. 1-24. [10.1016/j.ribaf.2022.101680]

Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness

Vigne, S. A.
2022

Abstract

Using the quantile connectedness approach for the median, lower, and upper quantiles, we examine the return and volatility connectedness between energy and BRIC markets from January 1, 2000, to July 9, 2021. We find that uncertain economic activity and intense periods characterize energy and BRIC market returns and volatility connectedness. A parallel return and volatility connectedness structure for upper and lower quantiles against the average quantile revealed different results. Time-varying features are substantiated between energy and BRIC markets; significant distress events, such as the Global Financial Crisis, European Debt Crisis, Shale Oil Revolution, and COVID-19 pandemic, intensified spillovers. We highlight diversification avenues for energy and BRIC markets given the periods of financial turmoil, with investors' concerns widely addressed by opt-in investment opportunities with lower risk and greater diversification. Our study has beneficial implications for policymakers, regulators, investors, and financial market constituents to redevelop their existing strategies to avoid financial losses.
BRIC countries, COVID-19, Energy commodities, Global financial crisis, Quantile connectedness
Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness / Billah, M.; Karim, S.; Naeem, M. A.; Vigne, Samuel Alexandre. - In: RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE. - ISSN 0275-5319. - 62:(2022), pp. 1-24. [10.1016/j.ribaf.2022.101680]
File in questo prodotto:
File Dimensione Formato  
1-s2.0-S027553192200068X-main.pdf

Solo gestori archivio

Tipologia: Versione dell'editore
Licenza: Tutti i diritti riservati
Dimensione 10.05 MB
Formato Adobe PDF
10.05 MB Adobe PDF   Visualizza/Apri
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/222582
Citazioni
  • Scopus 8
  • ???jsp.display-item.citation.isi??? 8
social impact