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<p>This study examined the interconnection between returns and volatility across five emerging technology sectors under various market scenarios. We use the approaches proposed by Chatziantoniou et al. (<CitationRef CitationID="CR15">2021</CitationRef>), Diebold &amp; Yilmaz (<CitationRef CitationID="CR18">2012</CitationRef>), and Diebold &amp; Yilmaz (<CitationRef CitationID="CR19">2014</CitationRef>) along with a quantile vector autoregression (QVAR) framework. The results show a strong association between returns and volatility, exacerbated during moments of market instability. In addition, communication and financial digital enterprises are the primary sources of uncertainty for the entire system. Finally, an asymmetric partner with uneven connectedness is detected in the network when evaluating volatility shock transmission, with more noticeable uncertainty during periods of market expansion than during periods of market decline. Our findings have important implications for regulators and financial market participants.</p>

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Investigating asymmetric return and volatility spillovers among contactless digital payments and communication firms

  • 期刊论文

  • 发表日期：

    2026年2月20日

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  • Nader Trabelsi,
  • Aviral Kumar Tiwari

摘要

This study examined the interconnection between returns and volatility across five emerging technology sectors under various market scenarios. We use the approaches proposed by Chatziantoniou et al. (2021), Diebold & Yilmaz (2012), and Diebold & Yilmaz (2014) along with a quantile vector autoregression (QVAR) framework. The results show a strong association between returns and volatility, exacerbated during moments of market instability. In addition, communication and financial digital enterprises are the primary sources of uncertainty for the entire system. Finally, an asymmetric partner with uneven connectedness is detected in the network when evaluating volatility shock transmission, with more noticeable uncertainty during periods of market expansion than during periods of market decline. Our findings have important implications for regulators and financial market participants.