Do global geopolitical risks affect connectedness of global stock market contagion network? Evidence from quantile-on-quantile regression

Based on the Vector Autoregressive Model (VAR), this paper constructs a contagion complex network of global stock market returns, and uses Quantile-on-Quantile Regression (QQR) to explore impact geopolitical risks connectedness markets. By applying risk analysis framework, we depict correlation between financial markets in different countries. We also identify characteristics international This innovatively introduces quantile-on-quantile regression method study risk. Through approach, find that there is an asymmetric relationship network. Our conclusions provide some suggestions for policy makers relevant investors how deal with current high risks. They ideas effectively hedge such during asset allocation formulation.