COVID‐19 spread throughout the world during 2020, bringing an increase in global financial risk. We use connectedness network to investigate the risk contagion among global stock markets during the COVID‐19 pandemic and analyse its source. Furthermore, we use spectrum analysis to explore the risk contagion effects on different frequency bands, which allows us to explore its speed and channels. We find that the United Kingdom and Italy are core transmitters of risks, and connectedness is mainly driven by low‐frequency components, which demonstrates that the risks are spread by affecting supply chains in global markets and investors’ long‐term expectations for the economy.

中文翻译：

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COVID-19下全球股票市场的风险传染：一种网络连通性方法

2020年，COVID-19遍布全球，带来了全球金融风险的增加。我们使用连通性网络来调查COVID-19大流行期间全球股票市场之间的风险传染并分析其来源。此外，我们使用频谱分析来探索在不同频带上的风险传染效应，这使我们能够探索其速度和渠道。我们发现英国和意大利是风险的主要传递者，并且连通性主要由低频成分驱动，这表明风险是通过影响全球市场的供应链和投资者对经济的长期期望而分散的。