Network measurement and influence mechanism of dynamic risk contagion among global stock markets: Based on time-varying spillover index and complex network method

From a global and dynamic perspective, this paper conducts the network measurement of risk contagion among global stock markets by employing time-varying spillover index and complex network method. Furthermore, this paper investigates the influence mechanism of dynamic risk contagion, combining multiple factors such as financial opening, international trade, and crossborder capital flow. The results show that: (1) There exists a strong risk contagion effect among global stock markets, especially for developed countries, which have obvious time-varying characteristics in both direction and intensity. (2) The risk contagion effect is also highly eventdependent, which shows a rapid upward trend during extreme risk events such as the financial crisis and the COVID-19 epidemic. (3) Different economic and financial development situations lead to different risk contagion effects, and the ranking of countries with stronger risk effects remains at a stable level, which can prompt important risk events. (4) International trade, crossborder capital flow, financial market volatility, investor sentiment, and the US monetary policy are key influence mechanisms of dynamic risk contagion. However, financial opening and economic fundamentals are not statistically significant, which is contrary to our intuition.