Fig. 5

Quantile net connectedness. This figure displays the quantile dynamics of the net directional return connectedness using the quantile connectedness approach of Ando et al. (2022). The net directional return connectedness measures are calculated by subtracting directional "FROM" spillovers from directional "TO" spillovers. Positive (negative) values of connectedness indicate that the corresponding variable is a net transmitter (receiver) of return connectedness to (from) all the other variables