 Analyzing quantile spillover effects among international financial marketsJie Wang, Tangyong Liu and Na Pan The North American Journal of Economics and Finance, 2023, vol. 64, issue C Abstract: This paper investigates the quantile-based spillover effects among 17 stock markets from January 1993 to January 2022, utilizing a quantile approach based on the variance decomposition of a quantile vector autoregression (QVAR) model. Compared with the traditional mean-based spillover measures, this new quantile approach allows for a nuanced investigation of spillovers at every quantile and capture spillovers under extreme events. The results show that: (1) the total spillover is high and exhibits strong time-varying characteristics, and the tail spillover is higher and more complex in scale and direction; (2) the spillover at each quantile level shows an upward trend, especially during the 2008 crisis and the COVID-19 epidemic; (3) developed countries (or regions) are the net exporters of stock market spillovers, while the developing countries are the net importers; and (4) the 17 stock markets constitute different local financial networks, which may be related to economic conditions and geographical location. Keywords: Quantile spillovers; Quantile vector autoregressive model; Total spillover index; Net spillover index; Asymmetry (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:ecofin:v:64:y:2023:i:c:s1062940823000049 DOI: 10.1016/j.najef.2023.101881 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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