Quantile spillover effects and sector dynamics in U.S. stock markets: Normal vs. extreme market conditions

Dong-Jun Kim, Eunjung Noh and Sun-Yong Choi

Finance Research Letters, 2025, vol. 83, issue C

Abstract: This study investigates the dynamic relationships among U.S. stock market sectors and their evolution under varying market conditions, including normal, bull, and bear markets. Using a quantile spillover framework, we find that spillover effects are evenly distributed during extreme conditions but concentrated in normal periods. Major events such as the COVID-19 pandemic, the Russia-Ukraine conflict, and inflationary pressures have significantly increased volatility in several sectors. These insights emphasize the importance of market-wide strategies under extreme conditions and sector-specific approaches in normal markets. These results help understand sectoral interconnections and pave the way for future research on market dynamics.

Keywords: U.S. stock market; Sectoral dynamics; Extreme market conditions; Normal market conditions; Quantile spillover framework (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:83:y:2025:i:c:s1544612325008670

DOI: 10.1016/j.frl.2025.107608

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