A critique of the inappropriate interpretation of the quantile connectedness approach by Ando et al. (2022)

Recently, there has been an exponential rise in the studies examining quantile connectedness across the conditional quantiles of volatility, following the seminal work of Ando et al. (2022). Our article conducts a literature review of several such studies from reputable journals that incorrectly interpret the results from volatility connectedness across the conditional quantiles. More specifically, these studies incorrectly relate lower quantiles of volatility to extreme adverse (or bearish) conditions and upper quantiles of volatility to upmarket (or bullish) conditions. Our literature review shows that, once the correct interpretation of conditional quantiles of volatility is imposed, many of these studies' novel and surprising results become consistent with the prior literature.