["Pacific Economic Review, Volume 31, Issue 3, Page 302-316, August 2026. ", "\nABSTRACT\nThis study uses the Granger non‐causality test in quantiles to examine how directional return predictability across nine major equity indices changed around the COVID‐19 shock. In the pre‐COVID‐19 period, directional predictability among East Asian indices is concentrated in the lower tail, especially over the quantile interval [0.05,0.2], consistent with stronger downside dependence under bearish market conditions. In the post‐COVID‐19 period, lower‐tail dependence remains present, but the most distinctive strengthening emerges in the upper tail, with the interval [0.8,0.95] showing the densest pattern of significant linkages among East Asian markets. These results suggest that the pandemic and the subsequent policy‐response environment altered not only the intensity but also the distributional location of cross‐market dependence.\n"]