We construct time-varying tail risk networks to investigate systemic risk spillovers in the Belt and Road (B&R) stock markets during 2008–2021. Network metrics clearly reflect aggregate risk level and individual risk accumulation for the B&R stock markets under extreme events (e.g., 2008 financial crisis and COVID-19 pandemic). Tail-event driven network quantile regression analysis shows that network impacts of the B&R stock markets under different risk levels are asymmetric and regional heterogeneity. Panel analysis on determinants of systemic risk spillovers shows that cross-border investment and international trade are significant contagion channels while economic freedom is potential driver.

我们构建了时变尾部风险网络，以调查 2008 年至 2021 年期间“一带一路”(B&R) 股票市场的系统性风险溢出效应。网络指标清楚地反映了极端事件（例如，2008 年金融危机和 COVID-19 大流行）下一带一路股票市场的总体风险水平和个体风险积累。尾事件驱动的网络分位数回归分析表明，不同风险水平下“一带一路”股票市场的网络影响具有不对称性和区域异质性。对系统性风险溢出决定因素的面板分析表明，跨境投资和国际贸易是重要的传染渠道，而经济自由是潜在的驱动因素。