Quantile spillovers under extreme events: Evidence from China's sectoral markets

초록

This study investigates quantile-based spillovers across 28 Chinese sectoral stock indices during the US-China trade war and the COVID-19 pandemic. We use a quantile factor vector autoregressive framework to distinguish sector-specific transmission in extreme market states from common co-movements. Spillover structures differ across both shocks and market states. During the trade war, spillovers become relatively concentrated around agriculture, communications, media, and non-bank financials. A more state-dependent and multicentered network emerges during the pandemic period, with several production-, materials-, and service-related sectors as transmitters across different states. Our network analyses provide information beyond the nature of the shock itself by identifying the sectors and channels through which domestic sectoral spillovers are transmitted within China's equity market.

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