Estimating contagion mechanism in global equity market with time‐zone effect
提出一个时区向量自回归模型，分析36个国家股票市场的日数据，研究次贷危机、欧债危机和新冠危机期间的联动与传染机制，发现共振效应和结构变化，并强调时区效应能提升模型解释力。
Abstract This paper proposes a time‐zone vector autoregressive (VAR) model to investigate comovements in the global financial market. Analyzing daily data from 36 national equity markets, we explore the subprime and European debt crises using static analysis and the COVID‐19 crisis through a rolling window method. Our study of comovements using VAR coefficients reveals a resonance effect in the global system. Findings on densities and assortativities suggest the existence of the transmission mechanism in all periods and abnormal structural changes during the crises. Strength analysis uncovers the information transmission mechanism across continents over normal and turmoil periods and emphasizes specific stock markets' unique roles. We examine dynamic continent strengths to demonstrate the contagion mechanism in the global equity market over an extended period. Incorporating the time‐zone effect significantly enhances the VAR model's interpretability. Signed networks provide more information on global equity markets and better identify critical contagion patterns than unsigned networks.