Dynamics of asymmetric connectedness among magnificent seven technology giants: Insights from QVAR analysis

Abstract

This paper studies the return and volatility spillover among the seven largest technology companies (including Apple, Microsoft, Amazon, Alphabet (Google), Meta Platforms (formerly Facebook), Tesla, and Nvidia) referred to as Magnificent seven. We employ a quantile connected approach to study spillover and connectedness under different market conditions. We observe a high degree of interconnectedness in the returns of these firms, with equities transitioning between roles as net receivers and transmitters across various market conditions. Notably, the influence of market size is apparent, with larger-cap firms predominantly acting as net transmitters, while smaller-cap counterparts serve as net receivers. We also identify asymmetry between quantiles, particularly evident in left tails, underscoring the significance of idiosyncratic shocks. Our findings have important implications for policy makers, investors and regulators.