Result: Extreme jump risk contagion across oil and stock markets: evidence from a Hawkes process.

Extreme shock events have occurred frequently in recent years, and the phenomenon of extreme jump risk contagion has become more prevalent. Utilizing the Hawkes process, this study meticulously examines the characteristics of extreme jump risk contagion across the oil and major stock markets over two recent decades. We find that Hawkes process is adept at capturing extreme jump risk and provides clear evidence of self- and mutually-exciting effects across the oil and stock markets. Notably, both effects are strongest and most persistent in China, exceeding those in the United States and United Kingdom. Moreover, financial turbulence amplifies these effects, making them more prone to occurrence, larger in magnitude, more sensitive to jump risk, and longer in duration. These findings offer crucial insights for both financial market regulators and investors. [ABSTRACT FROM AUTHOR]

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