Stock Market Interconnection and Tail Risk Spillover Effects
From the perspective of magnitude,direction and dynamics,this paper investigates the tail risk contagion among 10 important stock markets in the world from 1997 to 2022 based on the tail risk interconnectedness network,which is con-structed by combining the time-varying peak over threshold(POT)model and the spillover index model.We also focus on the characteristics of tail risk spillover network and the internal mechanism of tail risk contagion.Empirical results show that the average tail risk spillover index of these 10 markets reached 59.79％during the whole sample period,indicating obvious cross-market contagion effect of tail risk.At the same time,the tail risk spillover effect is time varying,which is more significant dur-ing the crisis.The United States is the largest net exporter of tail risk in the sample range and one of the important sources of extreme risk in the international market.Due to relatively low degree of openness,the Chinese mainland market has the lowest level of two-way tail risk spillovers and has been a net recipient of tail risk for a long time.Since the outbreak of the China-US trade frictions and the COVID-19,the tail risk linkages among the international stock markets have been strengthened,bringing greater challenges to preventing imported risks and maintaining financial security and stability.The structure of the international tail risk spillover network is also time-varying.The spillover effect mainly exists between developed markets during stable periods,while it is significantly strengthened between emerging markets during crises.Finally,the economic fundamentals and the market contagions are both found to be important factors of tail risk spillover effects.
stock markettail riskspillover effectinterconnectedness networktime-varying peak over threshold(POT)model
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NSTL
万方数据
