“…This is an important task for existing COVID-19 related researches. In terms of research method, conditional correlation methods ( Balcilar and Ozdemir, 2013 ; Chen et al, 2020 ; Dua and Tuteja, 2016 ; El Ghini and Saidi, 2016 ; Lei et al, 2019 ; Liang et al, 2020a ; Liang et al, 2020b ; Öztek and Öcal, 2017 ; Tsuji, 2020 ; Wei et al, 2017 , 2020a , 2020b , 2021 ; Wright and Hirano, 2002 ; Zhang et al, 2019 , 2020 ; Zhang et al, 2019a,b ), Granger-causality ( Balboa et al, 2015 ; Massa and Rosellón, 2020 ; Papana et al, 2017 ; Woźniak, 2016 ; Yang et al, 2021 ), copula models ( Apergis et al, 2020 ; Boako et al, 2019 ; Kotkatvuori-Örnberg, 2016 ; Mensah and Premaratne, 2017 ; Rodriguez, 2007 ; Wen et al, 2012 ), and conditional value-at-risk ( Ji et al, 2018a , 2019 ; Li and Wei, 2018 ; Mensi et al, 2017 ; Reboredo and Ugolini, 2015 , 2016 ) are widely used to explore the characteristics of the information transmission between two variables/assets. Since Diebold and Yılmaz (2009 , 2012 , 2014) 's study which explore the connectedness across an asset system, a large body of literature realizes the importance of uncovering system spillovers in a large system ( Ji et al, 2018b ; Lundgren et al, 2018 ; Tiwari et al, 2020 ; Wang et al, 2020 ; Wei et al, 2019 ; Yoon et al, 2019 ; Zeng et al, 2019 ; Zhang, 2017 ).…”