Mohammad Enamul Hoque, Mabruk Billah, Burcu Kapar, Muhammad Abubakr Naeem
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. © 2024 The Author(s)
BRAC Business School, BRAC University, 66 Mohakhali, Dhaka, 1212, Bangladesh; Department of Accounting and Finance, College of Business Administration, Prince Mohammad Bin Fahd University, Al Khobar, Saudi Arabia; University of Wollongong in Dubai, Dubai, United Arab Emirates; College of Business and Economics, United Arab Emirates University, P.O. Box 15551, Al-Ain, United Arab Emirates; Faculty of Economics and Business, Universitas Negeri Padang, Padang, 25131, Indonesia
