The study investigates (i) the time-varying and directional connectedness of nine equity sectors through intra- and inter-sector volatility spillover periods and (ii) assesses the impact of state variables on aggregate volatility spillovers. The study finds about 76% of volatility linkage is associated with cross-sector volatility transmissions. Aggressive sectors, which are sensitive to macroeconomic risk, play the net volatility transmission role. Defensive sectors that are largely immune to macroeconomic risk play the net volatility receiving role. The intensity and direction of volatility transmissions among the sectors vary with economic expansion and recession periods. Over time, some sectors switching from net transmitting to net receiving role and vice versa. Macro and financial market uncertainty variables significantly impact volatility spillover at lower volatility spillover (economic expansion period) and higher volatility (economic recession periods) volatility spillover quantiles. Political signals are seemingly more imprecise and uninformative during economic expansion or low quantiles, intensifying volatility spillover. Overall, the causal effects of macro, financial, and policy uncertainty variables on aggregate volatility spillover are asymmetric, nonlinear, and time-varying. The study's result supports the cross-hedging and financial contagion views of volatility transmission across nine US equity sectors.

该研究调查 (i) 通过行业内和行业间波动溢出期的九个股票行业的时变和方向连通性，以及 (ii) 评估状态变量对总体波动溢出的影响。该研究发现，大约 76% 的波动率联系与跨部门波动率传导有关。对宏观经济风险敏感的激进部门发挥净波动率传导作用。在很大程度上不受宏观经济风险影响的防御性行业扮演着净波动率接收者的角色。行业之间波动性传导的强度和方向随经济扩张和衰退时期而变化。随着时间的推移，一些部门从网络传输角色切换到网络接收角色，反之亦然。宏观和金融市场不确定性变量在较低波动性溢出（经济扩张期）和较高波动性（经济衰退期）波动溢出分位数上显着影响波动性溢出。在经济扩张或低分位数期间，政治信号似乎更加不精确和缺乏信息，从而加剧了波动溢出。总体而言，宏观、金融和政策不确定性变量对总体波动溢出的因果影响是不对称的、非线性的和时变的。该研究的结果支持了美国九个股票板块波动性传导的交叉对冲和金融传染观点。在经济扩张或低分位数期间，政治信号似乎更加不精确和缺乏信息，从而加剧了波动溢出。总体而言，宏观、金融和政策不确定性变量对总体波动溢出的因果影响是不对称的、非线性的和时变的。该研究的结果支持了美国九个股票板块波动性传导的交叉对冲和金融传染观点。在经济扩张或低分位数期间，政治信号似乎更加不精确和缺乏信息，从而加剧了波动溢出。总体而言，宏观、金融和政策不确定性变量对总体波动溢出的因果影响是不对称的、非线性的和时变的。该研究的结果支持了美国九个股票板块波动性传导的交叉对冲和金融传染观点。