Quantile Spillover Effects and Sector Dynamics In U.S. Stock Markets: Normal Vs. Extreme Market Conditions

Authors

Dong-Jun Kim, Gachon University
Eunjung Noh, Rollins CollegeFollow
Sun-Yong Choi, Gachon University

Document Type

Article

Publication Date

10-31-2025

Abstract

This study investigates the dynamic relationships among U.S. stock market sectors and their evolution under varying market conditions, including normal, bull, and bear markets. Using a quantile spillover framework, we find that spillover effects are evenly distributed during extreme conditions but concentrated in normal periods. Major events such as the COVID-19 pandemic, the Russia-Ukraine conflict, and inflationary pressures have significantly increased volatility in several sectors. These insights emphasize the importance of market-wide strategies under extreme conditions and sector-specific approaches in normal markets. These results help understand sectoral interconnections and pave the way for future research on market dynamics.

Comments

Originally published in the Finance Research Letters

Published In

Kim, Dong-Jun, Noh, Eunjung, and Sun-Yong Choi. “Quantile Spillover Effects and Sector Dynamics in U.S. Stock Markets: Normal vs. Extreme Market Conditions.” Finance Research Letters 83 (2025): 107608. https://doi.org/10.1016/j.frl.2025.107608.

Publication Title

Finance Research Letters

DOI

https://doi.org/10.1016/j.frl.2025.107608