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

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

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...

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Bibliographic Details
Main Authors: Surachai Chancharat, Nongnit Chancharat
Format: Article
Language:English
Published: Elsevier 2024-09-01
Series:Journal of Open Innovation: Technology, Market and Complexity
Subjects:
Dynamic connectedness
Quantile VAR
Stock market
Transmission
TVP-VAR
Online Access:http://www.sciencedirect.com/science/article/pii/S2199853124001112

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http://www.sciencedirect.com/science/article/pii/S2199853124001112

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