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Asymmetric market connectedness and systemic risk: A novel quantile and time-frequency evidence from brazilian energy firms

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  • Wu, Ran
  • Li, Ming
  • Ma, Shenglin
  • Zeng, Hongjun

Abstract

This paper introduces the novel time-varying parameter quantile vector autoregression (TVP-QVAR) frequency connectedness method to systematically analyze the time-frequency characteristics of market connectedness among 13 major Brazilian energy listed companies from 2021 to 2024. The findings reveal that market connectedness is most pronounced under extreme downside market conditions, with a total connectedness index of 87.34 %, surpassing 84.13 % in normal market conditions and 73.69 % in extreme upside market conditions, indicating an asymmetric amplification of systemic risk transmission under market stress. Long-term frequency connectedness dominates the information transmission process, while short-term frequency exhibits greater volatility in downside markets. X3R and PETRORECONCAVO consistently act as net information transmitters, whereas COSAN serves as a primary net receiver, particularly vulnerable to systemic shocks under extreme conditions. Network topology analysis shows that information transmission paths are longer and cluster structures are denser in downside markets. This study proposes a dynamic risk monitoring framework and differentiated investment strategies for investors, while recommending that regulators strengthen oversight of systemically important firms, enhance environmental information disclosure, and optimize energy transition policies, thereby addressing the research gap in risk transmission mechanisms within the context of energy transitions in emerging markets.

Suggested Citation

  • Wu, Ran & Li, Ming & Ma, Shenglin & Zeng, Hongjun, 2026. "Asymmetric market connectedness and systemic risk: A novel quantile and time-frequency evidence from brazilian energy firms," Renewable Energy, Elsevier, vol. 260(C).
    • Handle: RePEc:eee:renene:v:260:y:2026:i:c:s0960148125028265
    DOI: 10.1016/j.renene.2025.125162
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