Analysis of the Risk Linkage Effect between the International Crude Oil and Stock Markets
Based on the crude oil and stock index data of major countries worldwide from 2007 to 2021,a complex network model was introduced to analyze the directional and dynamic characteristics of tail risk cross-contagion between the aggregated networks of international crude oil and stock markets.The find-ings show that there is a close relationship in tail risk contagion between the stock market and the crude oil market.Within the aggregated network,the crude oil sector holds a dominant position.Crude oil expor-ting countries tend to release risks,and the United States,Russia,Saudi Arabia,and the United Arab E-mirates play the role of net risk exporters in the aggregated network.However,the outward transmission of risks does not reduce the tail risks in their own stock markets.
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