This study investigates the characteristics of information spillover in 32 major stock markets worldwide and takes into account the Global Financial Crisis in 2008, using the information spillover test method proposed by Hong and complex network tools. The results provide evidence that risk spillover is the strongest among four kinds of information spillover, and accelerates and aggregates post crisis. Downside extreme risk spillover is stronger than upside extreme risk spillover; the former spreads faster and the latter slows post crisis. We assign markets to four roles: leader, follower, communicator, and independent. We then distinguish the role of each market and information spillover pattern pre and post crisis. We further explain the characteristics of different communities in the global markets based on our proposed network clustering method.

本研究使用Hong提出的信息溢出测试方法和复杂的网络工具，调查了全球32个主要股票市场的信息溢出特征，并考虑了2008年的全球金融危机。结果提供了证据，表明风险外溢是四种信息外溢中最强的，并且在危机发生后加速并聚集。下行极端风险溢出要强于上行极端风险溢出；前者的传播速度更快，而后者则减缓了危机爆发后的速度。我们将市场分配给四个角色：领导者，跟随者，沟通者和独立者。然后，我们区分危机前后的每个市场的角色和信息溢出模式。