Analyzing quantile spillover effects among international financial markets

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.