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

Rehman, Mobeen Ur; Zeitun, Rami; Nautiyal, Neeraj; Vo, Xuan Vinh; Kang, Sang Hoon

Abstract

his 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.

Citation

Rehman, M. U., Zeitun, R., Nautiyal, N., Vo, X. V., & Kang, S. H. (in press). How do US sectoral markets connect in calm and crisis? A quantile-based network analysis. Applied Economics, 1-24. https://doi.org/10.1080/00036846.2025.2456127

• Journal Article Type: Article
• Acceptance Date: Jan 6, 2025
• Online Publication Date: Feb 13, 2025
• Deposit Date: Apr 15, 2025
• Publicly Available Date: Apr 15, 2025
• Journal: Applied Economics
• Print ISSN: 0003-6846
• Electronic ISSN: 1466-4283
• Publisher: Routledge
• Peer Reviewed: Peer Reviewed
• Pages: 1-24
• DOI: https://doi.org/10.1080/00036846.2025.2456127
• Keywords: COVID-19, US sectoral returns, quantile cross spectral, network connectedness
• Public URL: https://keele-repository.worktribe.com/output/1080542
• Publisher URL: https://www.tandfonline.com/doi/full/10.1080/00036846.2025.2456127