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Dynamical linkages between the Brent oil price and stock markets in BRICS using quantile connectedness approach

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  • Chang, Hao-Wen
  • Chang, Tsangyao
  • Ling, Yuan Hung
  • Yang, Yung-Lieh

Abstract

The Quantile connectedness approach, which allows for a detailed scrutinization of the connectedness, to analysis the connectedness for oil price and BRICS stock markets. Russia and South Africa plays the net transmitting roles, and similar evidence is obtained in Brazil after 2010. Brent oil, India, and Shanghai are net recipients for most time. The extent of the connectedness is further stronger when facing up the market slump such as the global financial crisis, European debt crisis, and Covid-19 periods. For investors, practitioners, and financial institutions, periodically changing the assets allocating can follow noted above evidence.

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  • Chang, Hao-Wen & Chang, Tsangyao & Ling, Yuan Hung & Yang, Yung-Lieh, 2023. "Dynamical linkages between the Brent oil price and stock markets in BRICS using quantile connectedness approach," Finance Research Letters, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001216
    DOI: 10.1016/j.frl.2023.103748
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    8. Rehman, Mobeen Ur & Nautiyal, Neeraj & Vo, Xuan Vinh & Ghardallou, Wafa & Kang, Sang Hoon, 2023. "Is the impact of oil shocks more pronounced during extreme market conditions?," Resources Policy, Elsevier, vol. 85(PA).
    9. Halilibrahim Gökgöz & Salha Ben Salem & Azza Bejaoui & Ahmed Jeribi, 2025. "Connectedness Structure and Volatility Dynamics Between BRICS Markets and International Volatility Indices: An Investigation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(3), pages 2981-3002, July.
    10. Hayet Soltani & Mouna Boujelbène Abbes, 2026. "Unveiling Co-Movements and Spillovers Across Financial, Cryptocurrency, and Commodity Markets: Insights from Google-Based Investor Sentiment," Quality & Quantity: International Journal of Methodology, Springer, vol. 60(1), pages 767-790, February.
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    12. Hanif, Waqas & Hadhri, Sinda & El Khoury, Rim, 2024. "Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumers," Journal of Commodity Markets, Elsevier, vol. 34(C).
    13. Yan, Kejia & Lin, Boqiang, 2026. "Carbon pricing, commodity markets, and economic stability: Evidence from the EU ETS," Journal of Commodity Markets, Elsevier, vol. 41(C).
    14. Yunus, Nafeesa, 2025. "Effects of oil shocks on global securitized real estate markets," Finance Research Letters, Elsevier, vol. 80(C).
    15. Mellouli Dhoha & Wael Dammak & Hind Alnafisah & Ahmed Jeribi, 2024. "Dynamic spillovers between natural gas and BRICS stock markets during health and political crises," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(2), pages 453-485, June.
    16. Chen, Yufeng & Msofe, Zulkifr Abdallah & Wang, Chuwen & Chen, Minghui, 2025. "Oil price uncertainty, exchange rate volatility, and African stock markets: A nonparametric quantile-on-quantile analysis," International Review of Financial Analysis, Elsevier, vol. 105(C).
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    18. Audi, Marc & Poulin, Marc & Ahmad, Khalil & Ali, Amjad, 2025. "Quantile Analysis of Oil Price Shocks and Stock Market Performance: A European Perspective," MPRA Paper 124295, University Library of Munich, Germany.
    19. Šević, Aleksandar & Nerantzidis, Michail & Tampakoudis, Ioannis & Tzeremes, Panayiotis, 2024. "Sustainability indices nexus: Green economy, ESG, environment and clean energy," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    20. OlaOluwa Yaya & Olayinka Adenikinju & Hammed A. Olayinka, 2024. "African stock markets’ connectedness: Quantile VAR approach," Modern Finance, Modern Finance Institute, vol. 2(1), pages 51-68.
    21. Kim, Dong-Jun & Noh, Eunjung & Choi, Sun-Yong, 2025. "Quantile spillover effects and sector dynamics in U.S. stock markets: Normal vs. extreme market conditions," Finance Research Letters, Elsevier, vol. 83(C).
    22. İhsan Erdem Kayral & Melike Aktaş Bozkurt & Sahar Loukil & Ahmed Jeribi, 2025. "Market Resilience Unveiled: Insights from Quantile Time Frequency Connectedness into Emerging Countries Stock Indices," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 16(2), pages 7781-7815, June.
    23. Dhoha Mellouli Ellouz Siwar, 2023. "Dynamical Linkages and Frequency Spillovers between Crude Oil and Stock Markets in BRICS During Turbulent and Tranquil Times," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 77-96.

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