Analyzing quantile spillover effects among international financial markets
The North American Journal of Economics and Finance(2023)
摘要
•This paper investigates the spillovers among 17 international stock markets.•This paper uses a new spillover method based on the QVAR model.•We found that the tail spillover is significantly higher than the mean spillover.•Spillover effect in left tail quantile is larger than that in right tail quantile.•The spillover effect is mainly transmitted from developed to developing countries.
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关键词
C32,G15
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