This paper employs a new framework, the high-dimensional conditional Value-at-Risk (CoVaR) connectedness based on the LASSO-VAR model, to explore the conditional financial contagion among a specific system conditional on extreme events occurring outside the specific system and its extreme risk spillovers to the system from the systemic perspective. Then, this paper employs the delta CoVaR and CoVaR networks to analyse the risk spillovers from oil markets to the G20 stock system from both the pairwise and systemic perspectives. From the pairwise perspective, the delta CoVaR (∆CoVaR) results show that when separating every G20 stock market from the whole market system, there are significant risk spillovers from oil to G20 stocks only during the crisis period. Further, the CoVaR connectedness results show that the G20 stock contagion presents regional characteristics and oil-related characteristics conditional on oil in extreme risk, and also verify the significant risk spillovers from the oil market to the global stock system from the systemic perspective. North American oil-related countries, including the United States of America, Canada and Mexico, are the most affected, and Asian countries have few shocks when the oil market shifts to extreme risk from a normal state. Last, this paper proposes two main policy implications after considering the empirical results.

本文采用新的框架，即基于 LASSO-VAR 模型的高维条件风险价值 (CoVaR) 连通性，探索特定系统之间的条件金融传染，条件是特定系统外发生的极端事件及其从系统的角度看，极端风险对系统的溢出。然后，本文利用delta CoVaR和CoVaR网络从成对和系统的角度分析了从石油市场到G20股票系统的风险溢出。从成对的角度来看，delta CoVaR (∆CoVaR) 结果表明，当将每个 G20 股票市场与整个市场体系分开时，只有在危机时期，石油对 G20 股票的风险溢出才会显着。更远，CoVaR连通性结果表明，G20股票传染呈现出以石油极端风险为条件的区域特征和石油相关特征，也从系统角度验证了石油市场对全球股票体系的显着风险溢出。包括美国、加拿大和墨西哥在内的北美石油相关国家受到的影响最大，当石油市场从正常状态转向极端风险时，亚洲国家几乎没有受到冲击。最后，本文在考虑实证结果后提出了两个主要的政策含义。包括美国、加拿大和墨西哥在内的受影响最大，亚洲国家在石油市场从正常状态转向极端风险时几乎没有受到冲击。最后，本文在考虑实证结果后提出了两个主要的政策含义。包括美国、加拿大和墨西哥在内的受影响最大，亚洲国家在石油市场从正常状态转向极端风险时几乎没有受到冲击。最后，本文在考虑实证结果后提出了两个主要的政策含义。