Purpose This study aims to investigate tail-dependent risk spillovers between the Dow Jones Best-in-Class World Index (DJSI) and major asset classes – global equities (MSCI World Index), gold, Brent crude oil, bonds (S&P 500 Bond Index) and Bitcoin – and derive hedging and portfolio implications. Design/methodology/approach Daily price data from April 30, 2015 to May 19, 2025 are analyzed using the quantile-on-quantile (QoQ) connectedness framework developed by Gabauer and Stenfors (2024), which captures directional spillovers across specific quantile pairs in non-normal, asymmetric return distributions. Findings The DJSI shows stronger direct quantile connectedness than reverse quantile connectedness with all assets except Bitcoin. Connectedness is pronounced in lower and upper quantiles (except for equities, where it is consistently high across quantiles). The DJSI acts as a net shock transmitter in extreme quantiles, while oil, equities and gold transmit shocks in median quantiles. Economic, political and social events – such as oil price shocks, the US–China trade war, the COVID-19 pandemic, Russia’s invasion of Ukraine, the Israel–Hamas conflict and Trump’s tariff policies – have significantly influenced both direct and reverse connectedness among markets. The DJSI enhances pairwise and multiasset portfolio diversification, providing hedging against bonds, gold and Bitcoin. Research limitations/implications Although the study spans a relatively long period that includes multiple crises, the specific time frame and selected events may not fully capture longer-term structural shifts or future unprecedented shocks. Results may be partially period-specific. Practical implications Institutional investors seeking environmental, social and governance compliant diversification may benefit from overweighting sustainable assets, particularly in extreme risk scenarios, where these assets appear to amplify risk transmission during market turmoil yet also provide protection when traditional assets are under distress. This dual role reinforces their value in robust, resilience-oriented portfolio construction. Furthermore, policymakers and central banks should incorporate sustainability-linked assets into macroprudential surveillance frameworks, taking into account their spillover potential when designing crisis response measures. Originality/value This study provides one of the first QoQ connectedness analyses integrating the DJSI with equities, commodities, bonds and cryptocurrencies, revealing tail risks, event-driven asymmetries and portfolio strategies overlooked in prior studies.
Tekin et al. (2026) studied this question.