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An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets

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  • Hongyue Guo
  • Yongxuan Han
  • Boxiang Jia
  • Bin Meng
  • Cong Sui

Abstract

To delve deeper into the risk spillover in the commodity and stock markets, this study proposes an interconnected multilayer extreme risk spillover network using the TVP‐VAR‐DY model, block aggregation technique, and network measures. Specifically, we focus on the interconnectedness among commodity futures, commodity spot markets (iron ore, coal, and crude oil), and stock markets in the US and China. The results confirm that: (i) commodity futures markets are the largest transmitters to other markets at the aggregate level, (ii) energy markets are viewed as a bridge for extreme cross‐market risk spillovers in commodity and stock markets, and (iii) risk contagion between markets is stronger in extreme cases compared to the volatility‐based one, while unexpected events, including trade wars and COVID‐19, exacerbate the risk transmission strength. Our study provides a new perspective on extreme risk contagion in the commodity and stock markets and contributes to risk management in financial markets.

Suggested Citation

  • Hongyue Guo & Yongxuan Han & Boxiang Jia & Bin Meng & Cong Sui, 2026. "An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(1), pages 157-174, January.
    • Handle: RePEc:wly:jfutmk:v:46:y:2026:i:1:p:157-174
    DOI: 10.1002/fut.70054
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