 Dynamic spillovers between global financial stress and uncertainties: Evidence from quantile connectednessZixuan Li, Shaobo Long and Xiang Xu International Review of Economics & Finance, 2025, vol. 103, issue C Abstract: This paper investigates the dynamic spillovers between financial stress of global major financial markets and uncertainties. The findings suggest that spillover effects between financial stress and uncertainties vary across quantiles. The spillover effect in extreme markets is significantly higher than that in normal markets. GEPU and IDEMV have the most pronounced spillovers to financial stress, especially in the extreme upper market. Moreover, US is the dominant transmitter of spillover effects to other financial markets, while Japan and India are always net receivers. Rolling-window analysis shows that spillover effects between financial stress and uncertainties are time-varying. Furthermore, the tail spillovers are asymmetric. These findings offer important insights for investors and policymakers to identify potential financial risks and uncertainties in advance and adjust investment and management strategies. Keywords: Financial stress; Uncertainty; Dynamic spillover; Connectedness (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025005933 DOI: 10.1016/j.iref.2025.104430 Access Statistics for this article International Review of Economics & Finance is currently edited by H. Beladi and C. Chen More articles in International Review of Economics & Finance from Elsevier |
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