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Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network
Journal article   Peer reviewed

Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network

Rabeh Khalfaoui, Shawkat Hammoudeh and Mohd Ziaur Rehman
Emerging markets review, v 54
Mar 2023
DOI: https://doi.org/10.1016/j.ememar.2023.101002
Featured in Collection :   UN Sustainable Development Goals @ Drexel

Abstract

BRICS Cryptos Network analysis Sensitivity Spillover Uncertainty
In this study we advance the understanding of the spillovers and connectedness network among conventional and Islamic BRICS stock markets, cryptos (Bitcoin, Ethereum, Litecoin) and various global uncertainties, using a quantile vector autoregression method and daily data covering the period October 8, 2016, to May 28, 2021. Further, the study uses a network and sensitivity analyses to assess the nexus, examines risk causes, and the transfer paths in these markets under bearish, normal, and bullish markets. The evidence offers major findings. First, the overall static and dynamic connectedness is very high and more intense at extreme events. Second, the network connectedness structure shows that the markets have played both roles: net transmitters and receivers of shocks under several market states. Finally, the sensitivity to quantiles analysis shows switching behavior of net transfer spillovers over the quantiles. This could be beneficial to investors aiming at optimizing hedging strategies. Policymakers should consider carefully the overall network connectedness in the market system and formulate appropriate policies to conceive stock market price sensitivity. •We investigate the time-varying spillovers among the BRICS stocks, cryptocurrency, and uncertainty.•Network spillover connectedness is examined based on the quantile VAR method.•The dynamics of the connectedness are very high and intense under the extreme market circumstances.•The net connectedness behavior of markets depends on the market state and the business cycle.

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16 Record Views
63 citations in Web of Science
52 citations in Scopus

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UN Sustainable Development Goals (SDGs)

This publication has contributed to the advancement of the following goals:

#8 Decent Work and Economic Growth

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Collaboration types
Domestic collaboration
International collaboration
Web of Science research areas
Business, Finance
Economics
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