Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices

Muhammad Abubakr Naeem, Mudassar Hasan, Muhammad Arif, Faruk Balli, Syed Jawad Hussain Shahzad

Research output: Contribution to journalArticlepeer-review

60 Citations (Scopus)


We investigate whether the global financial crisis (GFC) changed the tail and frequency interdependence between BRICS stock markets and two strategic commodities (oil and gold). To that end, we employ two novel approaches namely the quantile on quantile (QQR) regression and the quantile coherency (QC). The QQR approach reveals that while the positive lower tail interdependence between gold and BRICS equity markets strengthens after GFC, the lower tail interdependence of oil and BRICS equity returns shifts from neutral to positive with the incidence of the GFC. The QC approach also shows no interdependence between oil (gold) and most of the BRICS equity markets over the short-term horizon in the pre-GFC era. However, with the occurrence of the GFC, the interdependence shifts to moderately positive across all the return quantiles with some exceptions of negative interdependence in extremely divergent return quantiles. Similarly, in the long-term, already positive interdependence of the pre-GFC period in parallel return quantiles of oil (gold) further strengthens with the incidence of the GFC. Our findings provide useful insights to the investors who operate at different time horizons amid various market conditions.

Original languageEnglish
Article number124235
JournalPhysica A: Statistical Mechanics and its Applications
Publication statusPublished - Sept 1 2020
Externally publishedYes


  • Emerging stock markets
  • Gold
  • Oil
  • Quantile coherence
  • Quantile dependence
  • Time and frequency domain

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics


Dive into the research topics of 'Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices'. Together they form a unique fingerprint.

Cite this