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Quantifying the volatility spillover dynamics between financial stress and US financial sectors: Evidence from QVAR connectedness

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  • Hoque, Mohammad Enamul
  • Billah, Mabruk
  • Kapar, Burcu
  • Naeem, Muhammad Abubakr

Abstract

This study uses quantile vector-autoregressive to examine volatility connectedness among a global financial stress index (including five categories: credit, equity valuation, funding, safe assets, and volatility) and US financial sectors under low, moderate, and extreme volatility conditions. The dataset includes the special periods covering the global financial crisis, China crisis, COVID-19 pandemic, Russian–Ukrainian war, Silicon Valley Bank failure, and Credit Suisse bank crisis. The findings imply that spillover effects among the series are higher during extreme volatility than during low and moderate volatility periods. During periods of low volatility, the credit category of the financial stress index and the US financial sector indices are net shock transmitters, but during extreme volatility periods, the US financial sectors become net shock receivers alongside the credit and funding categories of the financial stress indices. US financial sectors also exhibit net shock recipient roles at extreme volatility levels during those special periods.

Suggested Citation

  • Hoque, Mohammad Enamul & Billah, Mabruk & Kapar, Burcu & Naeem, Muhammad Abubakr, 2024. "Quantifying the volatility spillover dynamics between financial stress and US financial sectors: Evidence from QVAR connectedness," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  • Handle: RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003661
    DOI: 10.1016/j.irfa.2024.103434
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    Cited by:

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    More about this item

    Keywords

    Global financial stress; Quantile connectedness; Volatility spillovers;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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