Quantile and asymmetric return connectedness among BRICS stock markets

Abstract

We investigate the quantile and asymmetric return connectedness among the BRICS stock exchanges between 1 January 2002 and 31 December 2022. Over the years the BRICS stock markets have become emerging market choices for global investors interested in international diversification. As a result, the characteristics of these markets and how they interact with each other are important to international investors. We use quantile connectedness to examine return spillovers, particularly at the extreme left and right tails, as opposed to connectedness in the middle. The group's level of return connectedness, as determined by mean-based connectedness measures is only 30.58%. However, we find that levels of quantile-connectedness are substantially higher when using a unique quantile-based connectedness technique, more than doubling to more than 70% at the extreme upper and lower tails respectively. We also utilise a novel asymmetric connectedness approach that disaggregates overall connectedness into its positive and negative constituents. Positive return connectedness is more pronounced than negative return connectedness.