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Quantile spillover effects and sector dynamics in U.S. stock markets: Normal vs. extreme market conditions

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  • Kim, Dong-Jun
  • Noh, Eunjung
  • Choi, Sun-Yong

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.

Suggested Citation

  • Kim, Dong-Jun & Noh, Eunjung & Choi, Sun-Yong, 2025. "Quantile spillover effects and sector dynamics in U.S. stock markets: Normal vs. extreme market conditions," Finance Research Letters, Elsevier, vol. 83(C).
    • Handle: RePEc:eee:finlet:v:83:y:2025:i:c:s1544612325008670
    DOI: 10.1016/j.frl.2025.107608
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