The outbreak of the COVID-19 pandemic significantly negatively impacted the global economy and stock markets. This paper investigates the stock-market tail risks caused by the COVID-19 pandemic and how the pandemic affects the risk correlations among the stock markets worldwide. The conditional autoregressive value at risk (CAViaR) model is used to measure the tail risks of 28 selected stock markets. Furthermore, risk correlation networks are constructed to describe the risk correlations among stock markets during different periods. Through dynamic analysis of the risk correlations, the influence of the COVID-19 pandemic on stock markets worldwide is examined quantitatively. The results show the following: (i) The COVID-19 pandemic has caused significant tail risks in stock markets in most countries, while the stock markets of a few countries have been unaffected by the pandemic. (ii) The topology of risk correlation networks has become denser during the COVID-19 pandemic. The impact of the COVID-19 pandemic makes it easier for risk to transfer among stock markets. (iii) The increase in the closeness of the risk relationship between countries with lower economic correlation has become much higher than that between counties with higher economic correlation during the COVID-19 pandemic. For researchers and policy-makers, these findings reveal practical implications of the risk correlations among stock markets.

COVID-19 大流行的爆发对全球经济和股市产生了重大负面影响。本文调查了由 COVID-19 大流行引起的股市尾部风险，以及大流行如何影响全球股市之间的风险相关性。条件自回归风险值 (CAViaR) 模型用于衡量 28 个选定股票市场的尾部风险。此外，构建风险相关网络来描述不同时期股票市场之间的风险相关性。通过对风险相关性的动态分析，定量研究了 COVID-19 大流行对全球股市的影响。结果显示如下：(i) COVID-19 大流行已在大多数国家/地区的股票市场造成重大尾部风险，而一些国家的股票市场并未受到大流行的影响。(ii) 在 COVID-19 大流行期间，风险关联网络的拓扑结构变得更加密集。COVID-19 大流行的影响使风险更容易在股票市场之间转移。(iii) 在 COVID-19 大流行期间，经济相关性较低的国家之间风险关系紧密度的增加远高于经济相关性较高的国家之间。对于研究人员和政策制定者来说，这些发现揭示了股票市场之间风险相关性的实际意义。(iii) 在 COVID-19 大流行期间，经济相关性较低的国家之间风险关系紧密度的增加远高于经济相关性较高的国家之间。对于研究人员和政策制定者来说，这些发现揭示了股票市场之间风险相关性的实际意义。(iii) 在 COVID-19 大流行期间，经济相关性较低的国家之间风险关系紧密度的增加远高于经济相关性较高的国家之间。对于研究人员和政策制定者来说，这些发现揭示了股票市场之间风险相关性的实际意义。