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Market Resilience Unveiled: Insights from Quantile Time Frequency Connectedness into Emerging Countries Stock Indices

Author

Listed:
  • İhsan Erdem Kayral

    (Ostim Technical University)

  • Melike Aktaş Bozkurt

    (Ostim Technical University)

  • Sahar Loukil

    (University of Sfax)

  • Ahmed Jeribi

    (University of Monastir)

Abstract

This study provides an in-depth analysis of the dynamic connectedness among BRICS-plus stock indices, focusing on three distinct periods: pre-COVID-19 era, during the COVID-19 pandemic, and the Russia-Ukraine conflict. Utilizing the Quantile Vector Autoregressive (QVAR) connectivity approach, our methodology starts with the median quantile and systematically expands to various quantiles. This systematic progression allows us to comprehensively examine the temporal risk characteristics and interconnections across specific quantiles, enhancing our understanding through frequency domain analysis. Our findings reveal significant changes in the total connectedness index (TCI) and the roles of individual indices as either net transmitters or receivers of shocks during different crises. Particularly noteworthy is the resilience demonstrated by indices such as JTOPI, BVSP, TASI, and RTSI against risk transmission amidst the pandemic. Conversely, during the Russia-Ukraine conflict, BSE30, JTOPI, and ADX exhibited varying level of resilience. These insights underscore the sensitivity of financial markets to geopolitical events and highlight the importance of tailored risk management and investment strategies. The implications of our study are crucial for financial entities and policymakers aiming to optimize frameworks for market stability and risk mitigation in the face of global crises.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:jknowl:v:16:y:2025:i:2:d:10.1007_s13132-024-02188-1
    DOI: 10.1007/s13132-024-02188-1
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