Comparative Analysis of Spillover Effects in the Global Stock Market under Normal and Extreme Market Conditions

Using the volatility spillover index method based on the quantile vector autoregression (QVAR) model, this paper systematically examines structural changes and corresponding spillover effects within 20 major stock markets under both extreme and normal market conditions, using data spanning from January 2005 to January 2023. The results show that, compared to the traditional volatility spillover index method, which focuses mainly on average spillover effects, the QVAR model-based spillover index better captures spillover effects under extreme and various market conditions among global stock markets. The connections between stock markets are closer in extreme market conditions. The total spillover index of major global stock markets significantly increases in extreme conditions compared to normal conditions. In extreme market conditions, inflow indices show varying degrees of increase, with emerging economy stock markets displaying more significant increases. The outflow indices exhibit heterogeneity; emerging economies show consistent increases, while developed economies show mixed changes.