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This is a Quantitative Study study.

Quantile-Time-Frequency Connectedness in Global Equity Markets: Evidence from BRICS and G7 Economies

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Analysis reveals spillover effects in stock returns among BRICS and G7 markets, suggesting dynamic contagion patterns.

Spillover effects increase during extreme market conditions, affecting market stability and connectedness.
G7 markets are major sources of contagion, while BRICS markets primarily function as recipients of shocks.
Short-term dynamics dominate shock transmission in higher quantiles, while long-term effects are pronounced in lower quantiles.
G7 portfolios exhibit lower average weights and higher hedging efficiency, enhancing risk mitigation compared to BRICS portfolios.

Hachicha et al. (2025) studied this question.

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