Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis

Xianfang Su

The North American Journal of Economics and Finance, 2020, vol. 51, issue C

Abstract: This paper proposes a quantile variance decomposition framework for measuring extreme risk spillover effects across international stock markets. The framework extends the spillover index approach suggested by Diebold and Yilmaz (2009) using a quantile regression analysis instead of the ordinary least squares estimation. Thus, the framework provides a new tool for further study into the extreme risk spillover effects. The model is applied to G7 and BRICS stock markets, from which new insights emerged as to the extreme risk spillovers across G7 and BRICS stock markets, and revealed how extreme risk spillover across developed and emerging stock markets. These findings have important implications for market regulators.

Keywords: Stock market; Risk spillover; Variance decomposition; Quantile regression (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (56)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304085

DOI: 10.1016/j.najef.2019.101098

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