Asymmetric spillover and quantile linkage between the United States and ASEAN+6 stock returns under uncertainty

Abstract

This study examines the spillover and connectedness network among the United States and the Association of Southeast Asian Nations (ASEAN)+6 stock market returns during times of uncertainty in the world economy, such as the COVID-19 pandemic and the conflict between Russia and Ukraine. The quantile vector autoregression (QVAR) method was used, and daily data was collected from January 2, 2017, to June 30, 2023. The evidence provides important conclusions. Firstly, the overall level of static and dynamic connectivity is higher and more intense at extreme conditions, both lower and upper quantiles. Furthermore, the structure of network connectivity demonstrates that, in various market conditions, markets have functioned as both net transmitters and shock receivers. Eventually, the top three nations in which return volatilities are actively transmitted to other stock market outcomes in all three quartiles are the United States, Korea, and Singapore. This study offers suggestions for investors, policymakers, stock market reforms, and macroeconomic transformations; for example, portfolio diversification techniques may not benefit investors.

Keywords

• Dynamic connectedness
• Quantile VAR
• Stock market
• Transmission
• TVP-VAR