ArticleFinancial innovation2021
Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers.
Article in Financial innovation, 2021. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 22 papers.
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Who cites it
22 citing papers in PubMed.
- Article
- Assessing interconnectedness and systemic importance of Chinese financial institutions.iScience · 2024Article
- Enhancing Exchange-Traded Fund Price Predictions: Insights from Information-Theoretic Networks and Node Embeddings.Entropy (Basel, Switzerland) · 2024Article
- Review
- Systemic risk contagion of green and Islamic markets with conventional markets.Annals of operations research · 2023Article
- Connectedness of COVID vaccination with economic policy uncertainty, oil, bonds, and sectoral equity markets: evidence from the US.Annals of operations research · 2023Article
- Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets.Financial innovation · 2023Article
- The predictive power of Bitcoin prices for the realized volatility of US stock sector returns.Financial innovation · 2023Article
- Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis.Research in international business and finance · 2022Article
- Impact of COVID-19 pandemic on Moroccan sectoral stocks indices.Scientific African · 2022Review
- Quantiles dependence and dynamic connectedness between distributed ledger technology and sectoral stocks: enhancing the supply chain and investment decisions with digital platforms.Annals of operations research · 2022Article
- Risk Connectedness Between Green and Conventional Assets with Portfolio Implications.Computational economics · 2022Article
- Does more stringencies in government policies during pandemic impact stock returns? Fresh evidence from GREF countries, a new emerging green bloc.Resources policy · 2022Article
- Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic.Finance research letters · 2022Article
- Co-movements in sector price indexes during the COVID-19 crisis: Evidence from the US.Finance research letters · 2022Article
- Network based evidence of the financial impact of Covid-19 pandemic.International review of financial analysis · 2022Article
- Stock markets' reaction to COVID-19: Analyses of countries with high incidence of cases/deaths in Africa.Scientific African · 2022Article
- Effect of the Universal Health Coverage Healthcare System on Stock Returns During COVID-19: Evidence From Global Stock Indices.Frontiers in public health · 2022Article
- The source of financial contagion and spillovers: An evaluation of the covid-19 pandemic and the global financial crisis.PloS one · 2022Article
- Asymmetric volatility spillover among Chinese sectors during COVID-19.International review of financial analysis · 2021Article
Corrections and comments
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Authors and funding
4 authors.
Funding
No grant is acknowledged in the PubMed record.
Abstract
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 outbreak. To 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 returns. Notably, 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 network. The results show that the network structure and spillovers differ considerably with respect to the market state. During 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 structure. The 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 separated. The sectoral topology thus has not collapsed into a unified market during the pandemic.
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