IDEAS home Printed from https://ideas.repec.org/a/gam/jjrfmx/v18y2025i9p526-d1753074.html

Quantile-Time-Frequency Connectedness in Global Equity Markets: Evidence from BRICS and G7 Economies

Author

Listed:
  • Nejib Hachicha

    (Faculty of Economics and Management, University of Sfax, Sfax 3018, Tunisia)

  • Fredj Amine Dammak

    (Oise Institute of Technology (IUT), University of Picardy, 60000 Beauvais, France)

  • Mejed Boumrifeg

    (Faculty of Economics and Management, University of Sfax, Sfax 3018, Tunisia)

Abstract

We examine the quantile-time-frequency connectedness of stock returns among BRICS and G7 markets over the period January 2000 to January 2024, employing the Quantile Vector Autoregression (QVAR) model. Our findings reveal that spillover effects intensify during periods of extreme market conditions, compared to more tranquil phases. Furthermore, the stock markets of France, Germany, the United States, the United Kingdom, Italy, and Canada emerge as primary sources of contagion, whereas the BRICS markets and Japan primarily act as recipients across all quantile regimes. The frequency-quantile decomposition reveals that short-term dynamics primarily drive the net transmission of shocks at both the median and upper quantiles, whereas long-term dynamics are dominant at the lower quantile, indicating more persistent effects during market downturns. Finally, we construct investment portfolios based on the Minimum Connectedness Portfolio (MCP) approach and evaluate them through average portfolio weights and Hedging Effectiveness (HE) ratios. The results demonstrate that G7-based portfolios tend to have lower average weights and higher hedging efficiency, implying greater diversification benefits and enhanced risk mitigation performance compared to BRICS-based portfolios.

Suggested Citation

  • Nejib Hachicha & Fredj Amine Dammak & Mejed Boumrifeg, 2025. "Quantile-Time-Frequency Connectedness in Global Equity Markets: Evidence from BRICS and G7 Economies," JRFM, MDPI, vol. 18(9), pages 1-29, September.
    • Handle: RePEc:gam:jjrfmx:v:18:y:2025:i:9:p:526-:d:1753074
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/1911-8074/18/9/526/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/1911-8074/18/9/526/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Marcello Pericoli & Massimo Sbracia, 2003. "A Primer on Financial Contagion," Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, September.
    2. Tomohiro Ando & Matthew Greenwood-Nimmo & Yongcheol Shin, 2022. "Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks," Management Science, INFORMS, vol. 68(4), pages 2401-2431, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Naveed Khan & Anam Tariq & Syed Zulfiqar Ali Shah & Hassan Javed, 2026. "Quantile time–frequency connectedness and spillover between artificial intelligence, clean energy, and traditional asset classes: insights and portfolio implications," Future Business Journal, Springer, vol. 12(1), pages 1-39, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Avishek Bhandari & Ipsita Parida & Hitesh Kumar Sahu, 2026. "What Drives Contagion? Identifying and Attributing Cross-Border Transmission Mechanisms," Papers 2604.26546, arXiv.org.
    2. Flavin, Thomas J. & Panopoulou, Ekaterini & Unalmis, Deren, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Emerging Markets Review, Elsevier, vol. 9(4), pages 280-301, December.
    3. Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    4. Aysan, Ahmet Faruk & Batten, Jonathan & Gozgor, Giray & Khalfaoui, Rabeh & Nanaeva, Zhamal, 2024. "Metaverse and financial markets: A quantile-time-frequency connectedness analysis," Research in International Business and Finance, Elsevier, vol. 72(PB).
    5. Abdullah, Mohammad & Chowdhury, Mohammad Ashraful Ferdous & Wali Ullah, G.M., 2025. "Asymmetric tail risk dynamics, efficiency and risk spillover among FinTech stocks, cryptocurrencies and traditional assets," Global Finance Journal, Elsevier, vol. 64(C).
    6. Dungey, Mardi & Fry, Renée, 2009. "More Confusion in Contagion Tests: the Effects of a Crisis Sourced in US Credit Markets," The Journal of Economic Asymmetries, Elsevier, vol. 6(3), pages 41-70.
    7. Muñoz, Mª Pilar & Márquez, María Dolores & Sánchez, Josep A., 2011. "Contagion between United States and european markets during the recent crises," MPRA Paper 35993, University Library of Munich, Germany.
    8. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2014. "Causality and contagion in EMU sovereign debt markets," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 12-27.
    9. Han, Kefei & Kong, Manyu & Xu, Qiuhua & Zhou, Jiayi, 2026. "Exchange rate contagion and international trade: Insights from the TENET method," Journal of International Money and Finance, Elsevier, vol. 160(C).
    10. Ouyang, Zisheng & Zhou, Xuewei & Wang, Gang-jin & Liu, Shuwen & Lu, Min, 2024. "Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 909-928.
    11. Hongjun Zeng & Abdullahi D. Ahmed, 2026. "Dependency structure and volatility connectedness among China-ASEAN stock market, cryptocurrencies, and crude oil," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 12(1), pages 1-39, December.
    12. Yan, Jingjing & Wang, Kun & Ma, Pan, 2026. "The impact of public climate sentiment on systemic risk: Evidence from commodity and stock market systems," Journal of Commodity Markets, Elsevier, vol. 41(C).
    13. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2015. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis Versus Wavelet Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 575-611, December.
    14. Mink, Mark & de Haan, Jakob, 2013. "Contagion during the Greek sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 102-113.
    15. Mohammad Karimi & Marcel‐Cristian Voia, 2019. "Empirics of currency crises: A duration analysis approach," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 428-449, July.
    16. Shaun Bond & Mardi Dungey & Renée Fry, 2006. "A Web Of Shocks: Crises Across Asian Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 253-274, May.
    17. Le, Trung H. & Pham, Linh & Do, Hung X., 2023. "Price risk transmissions in the water-energy-food nexus: Impacts of climate risks and portfolio implications," Energy Economics, Elsevier, vol. 124(C).
    18. Begüm Yurteri Kösedağlı & A. Özlem Önder, 2021. "Determinants of financial stress in emerging market economies: Are spatial effects important?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4653-4669, July.
    19. Panos Fousekis, 2025. "A time‐varying and frequency‐dependent network of conventional and organic milk markets in France and Germany," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 69(1), pages 43-58, January.
    20. Manuela Goretti, 2005. "The Brazilian currency turmoil of 2002: a nonlinear analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 289-306.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jjrfmx:v:18:y:2025:i:9:p:526-:d:1753074. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager The email address of this maintainer does not seem to be valid anymore. Please ask MDPI Indexing Manager to update the entry or send us the correct address (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.