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

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  • Ali, Shoaib
  • Cui, Jinxin

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.

Suggested Citation

  • Ali, Shoaib & Cui, Jinxin, 2025. "Beyond averages: Quantile connectedness between G7 equity markets and derivative tokens," Journal of Behavioral and Experimental Finance, Elsevier, vol. 46(C).
    • Handle: RePEc:eee:beexfi:v:46:y:2025:i:c:s2214635025000115
    DOI: 10.1016/j.jbef.2025.101030
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    References listed on IDEAS

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    Cited by:

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    Keywords

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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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