Has Geopolitical Economic Fragmentation Altered International Stock Market Comovement?
In the current context of geopolitical economic fragmentation,the operation of international stock markets faces new challenges and uncertain-ties.In order to delve into whether the global economy is showing a trend of differentiation in capital markets,this paper employs the ARMA-GJR-GARCH model combined with generalized Granger causality tests to empirically study the information spillover effects among 18 major global stock markets.The study measures the transmission direction and network efficiency of information spillover,aiming to understand the interconnectivity of international stock markets in the current environment.The research results indicate that,under the impact of geopolitical economic fragmentation,international stock markets still maintain their distinctive interconnectivity.This interconnectivity exhibits dimensions of contagion and dependence,displaying a multi-faceted nature.In terms of mean spillover,Asian stock markets show less contagion to European and American stock markets,mainly manifesting as dependence.On the other hand,in terms of variance spillover,the U.S.stock market remains the source of financial risk transmission,while the Chinese A-share market gradually becomes the center of information spillover in Asia.It is worth noting that geopolitical e-conomic fragmentation has not altered the fundamental patterns of these interconnections.Regarding overall market linkage,there is dynamic fluctu-ation in mean spillover efficiency and variance spillover efficiency among international stock markets.This fluctuation is characterized not only by long-term mean dependence and short-term variance contagion during crisis periods but also by periodic fluctuations in mean spillover efficiency and variance spillover efficiency.These research findings reveal the resilience of international stock markets under the backdrop of geopolitical economic fragmentation,highlighting the ongoing mutual dependence of the global economy in financial markets.These empirical discoveries provide valuable guidance for formulating investment strategies,risk management,and advancing global economic governance.
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