Quantile Connectedness Across Socially Responsible Equity Markets of The BRICT Nations

Abstract

This paper investigates the shock linkages between the socially responsible equity indices of Brazil, Russia, India, China, and Türkiye, by using the quantile connectedness approach that is used by Chatziantoniou et al. (2021), to assess the median-based and tail connectivity, we will analyse daily time series data from April 4, 2018, to March 31, 2023. The outcomes of the static and dynamic analyses can be summarized as follows: for static quantile connectedness, Russia and India are net transmitters of shock at the tails, while China is a net receiver. China and Türkiye are net receivers, whereas Brazil, India, and Russia are net transmitters at the median quantile. Considering the dynamic quantile connectedness assessment, the findings indicate that the magnitude of connectedness significantly increases positive and negative shock connectedness. This suggests that during periods of extreme market volatility, socially responsible equity indices in BRICT nations experience more pronounced shock propagation. This suggests that socially responsible investments are susceptible to contagion and, as a result, provide restricted portfolio diversification advantages during periods of extreme market volatility. The analysis also indicates that there was a substantial rise in the overall dynamic connection during the COVID-19 pandemic and the Russia-Ukraine war.