The financial penetration accelerated by economic globalization and financial liberalization has inevitably induced market co-movement and the rising likelihood of cross-market risk contagion. An in-depth analysis concerning the carrier of risk contagion, i.e., market connectedness network, is of great significance for risk management. This study aims to establish a holistic framework to shed light on the topological dynamics and the evolving channels of connectedness network among 24 major stock markets in two aspects; namely, a dynamic perspective juxtaposing crisis and non-crisis periods, and a contrasting perspective between risk absorption and risk spillover. To this end, a methodological framework of the generalized variance decomposition and generalized exponential random graph models (GERGM) is constructed, in which the former method formulates the asymmetric causal relationships of stock return volatility among countries and regions into weighted and directed networks, and the latter method simulates and models the varying attributes of different contagion channels in the formation of tie directions and weights. The results indicate that the global stock market network reflects typical event-driven and time-varying characteristics. Countries and regions that rely heavily on foreign direct investment (FDI) are more likely to absorb risks, especially during the post-crisis recovery period, while countries and regions with higher foreign portfolio holdings are more inclined to risk spillover, especially during the subprime crisis. Geographical proximity and bilateral trade volume amplify risk contagion, whereas foreign exchange reserve holding improves robustness. This holistic framework allows the identification of the direction and intensity of risk contagion and the clarification of priority of risk transmission channels in different stages, thus reducing the uncertainty of risk management and providing insights into the macro-prudential managements toward sustainable economic development.

With the development of quantitative finance, machine learning methods used in the financial fields have been given significant attention among researchers, investors, and traders. However, in the field of stock index spot–futures arbitrage, relevant work is still rare. Furthermore, existing work is mostly retrospective, rather than anticipatory of arbitrage opportunities. To close the gap, this study uses machine learning approaches based on historical high-frequency data to forecast spot–futures arbitrage opportunities for the China Security Index (CSI) 300. Firstly, the possibility of spot–futures arbitrage opportunities is identified through econometric models. Then, Exchange-Traded-Fund (ETF)-based portfolios are built to fit the movements of CSI 300 with the least tracking errors. A strategy consisting of non-arbitrage intervals and unwinding timing indicators is derived and proven profitable in a back-test. In forecasting, four machine learning methods are adopted to predict the indicator we acquired, namely Least Absolute Shrinkage and Selection Operator (LASSO), Extreme Gradient Boosting (XGBoost), Back Propagation Neural Network (BPNN), and Long Short-Term Memory neural network (LSTM). The performance of each algorithm is compared from two perspectives. One is an error perspective based on the Root-Mean-Squared Error (RMSE), Mean Absolute Percentage Error (MAPE), and goodness of fit (R2). Another is a return perspective based on the trade yield and the number of arbitrage opportunities captured. Finally, a performance heterogeneity analysis is conducted based on the separation of bull and bear markets. The results show that LSTM outperforms all other algorithms over the entire time period, with an RMSE of 0.00813, MAPE of 0.70 percent, R2 of 92.09 percent, and an arbitrage return of 58.18 percent. Meanwhile, in certain market conditions, namely both the bull market and bear market separately with a shorter period, LASSO can outperform.