Multiscale Tail Risk Connectedness of Global Stock Markets: A LASSO-Based Network Topology Approach

Figure 6

Dynamic multiscale NET risk spillover effect of the US and mainland China stock market. Notes: the shaded area marks the two events: (a) the United States lost its AAA long-term sovereign credit rating and lowered it by one notch to AA+ (August 5, 2011); (b) the first trading day after the “circuit breaker” mechanism was introduced (January 4, 2016).

(a)

(b)