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*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

58 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
Pages (from-to)1-25
Number of pages25
JournalPhysica A: Statistical Mechanics and its Applications
Early online date21 Jan 2020
Publication statusPublished - 1 Sept 2020
Externally publishedYes

Cite this