Akademik Veri Yönetim Sistemi
EURASIAN ECONOMIC REVIEW, 2025 (ESCI, Scopus)
This study investigates the temporal dependence between global stock markets by applying the cross-quantilogram (CQ) method and quantile frequency connectedness index. Specifically, it examines how market uncertainties-captured by the CBOE Volatility Index (VIX), CBOE Gold Volatility Index (GVZ), and CBOE Crude Oil Volatility Index (OVX)-shape the interdependence between the U.S. and non-U.S. stock markets. The CQ analysis reveals strong short-term interdependence, suggesting significant synchronization between the U.S. and international equity markets. In periods of extreme market conditions, a positive CQ indicates that fluctuations in the U.S. stock market are mirrored in non-U.S. markets, particularly when the VIX, GVZ, and OVX serve as dominant sources of global uncertainty. The quantile-frequency connectedness results further highlight the strength of the short-term market contagion. The influence of VIX, GVZ, and OVX on the U.S. and non-U.S. markets varies across short-, medium-, and long-term horizons. Under bearish market conditions, these volatility indices primarily act as receivers of spillovers across all frequency bands, implying their potential use as hedging tools against downside risks. In contrast, during bullish conditions, the VIX emerges as a key transmitter of spillovers at all frequencies, reflecting its role in shaping investor sentiment and driving market fluctuations in both the U.S. and international stock markets.