Analyzing quantile spillover effects among international financial markets |
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| Institution: | 1. School of Economics, Hunan University of Finance and Economics, Changsha 410205, China;2. Institute for Advanced Studies in Finance and Economics, Hubei University of Economics, Wuhan 430205, China;1. Korea Capital Market Institute, South Korea;2. Bank of Korea, South Korea;3. The Reserve Bank of New Zealand, New Zealand; Centre for Applied Macroeconomic Analysis, Australia;1. School of Economics, University of Seoul, 163 Seoulsiripdae-ro, Dongdaemun-gu, Seoul 02504, South Korea;2. Department of International Finance, Hankuk University of Foreign Studies, 81, Oedae-ro, Cheoin-gu, Yongin-si, Gyeonggi-do 17035, South Korea |
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| 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. |
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| Keywords: | Quantile spillovers Quantile vector autoregressive model Total spillover index Net spillover index Asymmetry |
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