Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness

Mabruk Billah, Sitara Karim, Muhammad Abubakr Naeem, Samuel A. Vigne

Research output: Contribution to journalArticlepeer-review

76 Citations (Scopus)


Using the quantile connectedness approach for the median, lower, and upper quantiles, we examine the return and volatility connectedness between energy and BRIC markets from January 1, 2000, to July 9, 2021. We find that uncertain economic activity and intense periods characterize energy and BRIC market returns and volatility connectedness. A parallel return and volatility connectedness structure for upper and lower quantiles against the average quantile revealed different results. Time-varying features are substantiated between energy and BRIC markets; significant distress events, such as the Global Financial Crisis, European Debt Crisis, Shale Oil Revolution, and COVID-19 pandemic, intensified spillovers. We highlight diversification avenues for energy and BRIC markets given the periods of financial turmoil, with investors’ concerns widely addressed by opt-in investment opportunities with lower risk and greater diversification. Our study has beneficial implications for policymakers, regulators, investors, and financial market constituents to redevelop their existing strategies to avoid financial losses.

Original languageEnglish
Article number101680
JournalResearch in International Business and Finance
Publication statusPublished - Dec 2022


  • BRIC countries
  • COVID-19
  • Energy commodities
  • Global financial crisis
  • Quantile connectedness

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Finance


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