Global stock markets risk contagion: Evidence from multilayer connectedness networks in the frequency domain

Multilayer connectedness networks are a promising tool for unveiling the contagion mechanism of financial risk. This paper constructs multilayer connectedness networks in the frequency domain to examine the risk contagion among global stock markets from January 4, 2006, to June 30, 2022. We analyze the global efficiency, average connectedness strength, and network density of single-layer connectedness network, and investigate the average overlap degree, network correlation coefficient and network participation coefficients of inter-layer connectedness networks. We observe that (i) the risk contagion among global stock markets shows different behaviors in the short-, medium-, and long-term, (ii) during the period of financial stress, the medium- and long-term connectedness increase significantly, while the short-term connectedness decrease significantly, and (iii) the Asian stock markets are main risk receivers, but the risks they receive are heterogeneous in frequency. Our work provides a new perspective for studying global risk contagion and supply valuable knowledge for investor and regulators.