Imported risk in global financial markets: Evidence from cross-market connectedness

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI:10.1016/j.najef.2025.102374

Zisheng Ouyang , Zhen Chen , Xuewei Zhou , Zhongzhe Ouyang

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引用次数: 0

Abstract

We propose a cross-market connectedness network, including stock market layer and foreign exchange market layer in the spillover index method for investigating imported risk in global financial markets. In addition, we explore the topology of the cross-market connectedness network at the system and market layers. We also identify the key drivers of global risk spillovers by constructing the systemic importance indicator. Meanwhile, we examine the impact of global economic policy uncertainty, geopolitical risks, and external financial conditions on imported risk of international financial markets. Our results show that risk contagion in the stock market is more pronounced than in the foreign exchange market. Furthermore, we note that advanced markets are the main recipients of global imported risk, with the Netherlands, the EU and France being the most strongly shocked to external risks. Finally, the determinants analysis suggests that geopolitical risks significantly increase imported risk in global stock markets, while external financial conditions have a driving effect on risk spillovers in foreign exchange markets.

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.