Global risk contagion and financial assets security: evidence from quantile connectedness approach

Using the quantile connectedness approach, we examine volatility spillovers and contagion effects across global assets under varying shock scales. Our empirical results reveal that spillover effects among asset price indices exhibit an asymmetric U-shaped pattern across conditional quantiles. Moreover, the direction and magnitude of risk spillovers vary with changes in shock scales and time. For instance, during the COVID-19 pandemic, the US stock market initially acted as a net recipient of volatility spillovers at lower quantiles, but shifted to a net contributor at higher quantiles. These results help regulators track how risk contagion roles shift under shocks of varying intensity.