Tail risk spillovers between cryptocurrencies and stock markets: does the choice of Monday return benchmark matter?

This study investigates how alternative Monday return benchmark affects tail risk spillovers between cryptocurrencies and stock markets over the period from 12 August 2020 to 28 January 2026. Using daily data for ten largest major cryptocurrencies together with three stock market indices (S&P 500, VN30, and BSE100), we estimate the 5% Value-at-Risk (VaR) using the Conditional Autoregressive Value-at-Risk (CAViaR) model and quantify tail risk connectedness through the Time-Varying Parameter Vector Autoregression (TVP-VAR) framework. Our results show that benchmark choice can alter both downside risk and spillover dynamics. Monday return selection changes both the magnitude and the direction of connectedness measures, thereby affecting the identification of net transmitters and net receivers.