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    How do US sectoral markets connect in calm and crisis? A quantile-based network analysis

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    How do US sectoral markets connect in calm and crisis A quantile-based network analysis.pdf (20.26Mb)
    Date
    2025-02-13
    Author
    Rehman, Mobeen Ur
    Zeitun, Rami
    Nautiyal, Neeraj
    Vo, Xuan Vinh
    Kang, Sang Hoon
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    Abstract
    This work investigates how the return coherence of the US sectoral market changed during/post COVID-19 from the pre-pandemic period. We sampled daily data for a pre-COVID-19 period from January 2018 to November 2019 and a during/post-COVID-19 period from December 2019 to August 2024. To compare the return coherence and spillover for these periods, we applied quantile cross-spectral (Baruník & Kley, 2015) and network connectedness (Diebold & Yilmaz, 2014) measures, respectively. Our results highlighted a substantial increase in the integration level of US sectoral returns during/post-COVID-19 period. The effects of COVID-19 on returns were found to be more prominent with a short-run investment horizon under extreme market conditions. However, the coherence of energy sector returns with all other sectors remained low during/post-COVID-19 period under normal and bullish market conditions, thereby offering optimal opportunities for investment.
    URI
    https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85219723352&origin=inward
    DOI/handle
    http://dx.doi.org/10.1080/00036846.2025.2456127
    http://hdl.handle.net/10576/66944
    Collections
    • Finance & Economics [‎455‎ items ]

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