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Analyzing quantile and frequency connectedness between natural gas and stock markets amid turbulent times: evidence from G7, BRICS, and Gulf countries

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  • Dhouha Mellouli
  • Azza Bejaoui
  • Ahmed Jeribi

Abstract

In this paper, we explore the connectedness between the natural gas and G7, BRICS and GCC stock indices using quantile-based connectedness measures. We indicate that the total connectedness is higher in the tails of the conditional distribution, particularly in the extreme upper quantile during bullish market conditions. This suggests that the strength of connectedness among assets increases with the shock’s size during extreme market conditions, implying the existence of asymmetric connectedness. Finally, we divide the frequency connectedness into high and low frequencies and find that short-term TCI exerts a more significant influence on total TCI compared to long-term TCI. These findings provide insightful information for international investors, portfolio managers and policymakers.

Suggested Citation

  • Dhouha Mellouli & Azza Bejaoui & Ahmed Jeribi, 2026. "Analyzing quantile and frequency connectedness between natural gas and stock markets amid turbulent times: evidence from G7, BRICS, and Gulf countries," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 24(2), pages 275-315, April.
    • Handle: RePEc:taf:jocebs:v:24:y:2026:i:2:p:275-315
    DOI: 10.1080/14765284.2025.2521587
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