The aim of this paper is to analyze the dynamic relationships binding European financial market indices over the decade 2013–2022. In particular, we estimate a quantile VAR to study spillovers in different volatility scenarios using a measure of realised volatility robust to jumps and microstructural noise. Our results reveal that, especially for low quantiles, the degree of implied interconnectedness between the indices is affected negatively by the Brexit and the outbreak of the Russia-Ukraine conflict, while it augments after the Covid-19 pandemic occurrence. We also found that the EU central markets (Belgian, Dutch, French, and German) are important for the stability of the Eurozone system when uncertainty increases. On the other hand, the Italian and Portuguese markets transmit spillovers when volatility is high, whereas when the volatility is moderate or reduced, they absorb spillovers. The role of Scandinavian markets is mixed since the Finnish and Swedish markets are spillover emitters, while the Danish and the Norwegian emit only when the volatility is high. Our empirical analysis provides valuable information to policymakers, practitioners, and financial institutions.

本文的目的是分析 2013 年至 2022 年十年间欧洲金融市场指数的动态关系。特别是，我们使用对跳跃和微观结构噪声稳健的已实现波动率的度量来估计分位数 VAR，以研究不同波动率场景中的溢出效应。我们的结果显示，特别是对于低分位数，指数之间的隐含关联程度受到英国脱欧和俄罗斯-乌克兰冲突爆发的负面影响，而在 Covid-19 大流行发生后则有所增强。我们还发现，当不确定性增加时，欧盟中央市场（比利时、荷兰、法国和德国）对于欧元区体系的稳定非常重要。另一方面，意大利和葡萄牙市场在波动性较高时会传递溢出效应，而在波动性温和或降低时则吸收溢出效应。斯堪的纳维亚市场的作用是混合的，因为芬兰和瑞典市场是溢出排放国，而丹麦和挪威市场仅在波动性较高时排放。我们的实证分析为政策制定者、从业者和金融机构提供了有价值的信息。