Impact of the COVID‑19 outbreak on the US equity sectors:Evidence from quantile return spillovers

作     者：Syed Jawad Hussain Shahzad Elie Bouri Ladislav Kristoufek Tareq Saeed 

作者机构：Montpellier Business SchoolUniversity of MontpellierMontpellier Research in ManagementMontpellierFrance South Ural State UniversityChelyabinsRussian Federation Adnan Kassar School of BusinessLebanese American UniversityBeirutLebanon Institute of Information Theory and AutomationThe Czech Academy of SciencesPragueCzech Republic Institute of Economic StudiesFaculty of Social SciencesCharles UniversityPragueCzech Republic Nonlinear Analysis and Applied Mathematics(NAAM)‑Research GroupDepartment of MathematicsFaculty of ScienceKing Abdulaziz UniversityJeddahSaudi Arabia 

出 版 物：《Financial Innovation》 (金融创新（英文）)

年 卷 期：2021年第7卷第1期

页      面：300-322页

核心收录：

学科分类：0202[经济学-应用经济学] 02[经济学] 

基　　金：Ladislav Kristoufek gratefully acknowledges financial support of the Czech Science Foundation(project 20-17295S) the Charles University PRIMUS program(project PRIMUS/19/HUM/17) 

主　　题：Quantile return spillovers US equity sector indices COVID-19 outbreak Granger causality Global risk aversion 

摘      要：The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 *** this end,we extend the now-traditional Diebold-Yilmaz spillover index to the quantiles domain by building networks of generalized forecast error variance decomposition of a quantile vector autoregressive model specifically for extreme ***,we control for common movements by using the overall stock market index as a common factor for all sectors and uncover the effect of the COVID-19 outbreak on the dynamics of the *** results show that the network structure and spillovers differ considerably with respect to the market *** stable times,the network shows a nice sectoral clustering structure which,however,changes dramatically for both adverse and beneficial market conditions constituting a highly connected network *** pandemic period itself shows an interesting restructuring of the network as the dominant clusters become more tightly connected while the rest of the network remains well *** sectoral topology thus has not collapsed into a unified market during the pandemic.