Quantile Connectedness Across Socially Responsible Equity Markets of The BRICT Nations

Öz

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.

Anahtar Kelimeler

• Quantile Connectedness Approach
• Socially Responsible Investments
• BRICT Countries

BRICT Ülkelerinin Sosyal Sorumlu Sermaye Piyasalarındaki Kantil Bağıntısı

Öz

Bu makalede, Brezilya, Rusya, Hindistan, Çin ve Türkiye'nin sosyal sorumlu sermaye endeksleri arasındaki şok bağlantılıkları incelenerek, Chatziantoniou vd. (2021) tarafından kullanılan kantil bağıntılılık yaklaşımını kullanarak ortalamada ve kuyruk bağlantılıklarını değerlendiriliyor. Veriler 4 Nisan 2018'den 31 Mart 2023'e kadar günlük zaman serilerini analiz eder. Statik ve dinamik analizin bulguları aşağıdaki şekilde sunulabilir. Statik kantil bağıntılılığı açısından kuyruk şoklarında, Rusya ve Hindistan net iletkenlerdir, Çin ise net alıcıdır. Ortalama kantilde ise Çin ve Türkiye net alıcılar, Brezilya, Hindistan ve Rusya net göndericilerdir. Dinamik kantil bağıntılılık değerlendirmesi göz önüne alındığında, bulgular, bağıntılılığın büyüklüğünün olumlu ve olumsuz şok bağıntılılığını önemli ölçüde artırdığını gösteriyor. Bu, BRICT ülkelerindeki sosyal sorumlu hisselerindeki piyasa dalgalanması dönemlerinde daha belirgin bir şok yayılmasını gösteriyor. Sosyal sorumlu yatırımların bulaşıcılığa duyarlı olabileceği ve bunun sonucunda aşırı piyasa dalgalanması dönemlerinde sınırlı portföy çeşitliliği avantajları sağlayacağına işaret ediyor. Analiz ayrıca, COVID-19 salgını ve Rusya-Ukrayna savaşı sırasında genel dinamik bağlantının önemli ölçüde arttığını gösteriyor.

Anahtar Kelimeler

• Kantil Bağıntılılık Yaklaşımı
• Sosyal Sorumlu Yatırımlar
• BRICT Ülkeleri

Kaynakça

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