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<p>This study investigates the interconnectedness and spillover dynamics among G7 stock indices, focusing on two distinct systems: (1) G7 indices including the S&amp;P 500 and (2) G7 indices excluding the S&amp;P 500 but incorporating the Artificial Intelligence S&amp;P 500 (SPAI) index. Using quantile and frequency connectedness frameworks, we analyze data from October 2021 to August 2024 to capture both short- and long-term spillover effects across different quantiles. In the first system, the S&amp;P 500 emerges as a central net transmitter of shocks, reflecting its systemic importance and influence on global financial stability. European indices, such as DAX 40 and CAC 40, serve as major spillover contributors, while indices like Nikkei and S&amp;P TSX act predominantly as net receivers, highlighting regional dependencies. The second system shows that the SPAI index can primarily act as a net receiver, absorbing shocks from traditional markets. Yet, it is occasionally transmitter volatility, underscoring the growing integration of AI-driven sectors. Although the Total Connectedness Index is slightly lower in this system, European indices maintain their dominance as key transmitters, indicating consistent systemic importance. Short-term spillovers dominate in both systems, particularly during crises such as the COVID-19 pandemic and geopolitical conflicts, where heightened interconnectedness reduces diversification opportunities. The findings emphasize the S&amp;P 500’s pivotal role in traditional financial markets and the evolving significance of AI-driven indices. This dual-system analysis offers critical insights for risk management, portfolio diversification, and policymaking within an increasingly interconnected global financial framework.</p>

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Dual perspectives on market spillovers: G7 indices with S&P 500 versus AI-driven integration

  • 期刊论文

  • 发表日期：

    2025年6月12日

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  • Aamir Aijaz Syed,
  • Sahar Loukil,
  • Azza Béjaoui,
  • Ahmed Jeribi

摘要

This study investigates the interconnectedness and spillover dynamics among G7 stock indices, focusing on two distinct systems: (1) G7 indices including the S&P 500 and (2) G7 indices excluding the S&P 500 but incorporating the Artificial Intelligence S&P 500 (SPAI) index. Using quantile and frequency connectedness frameworks, we analyze data from October 2021 to August 2024 to capture both short- and long-term spillover effects across different quantiles. In the first system, the S&P 500 emerges as a central net transmitter of shocks, reflecting its systemic importance and influence on global financial stability. European indices, such as DAX 40 and CAC 40, serve as major spillover contributors, while indices like Nikkei and S&P TSX act predominantly as net receivers, highlighting regional dependencies. The second system shows that the SPAI index can primarily act as a net receiver, absorbing shocks from traditional markets. Yet, it is occasionally transmitter volatility, underscoring the growing integration of AI-driven sectors. Although the Total Connectedness Index is slightly lower in this system, European indices maintain their dominance as key transmitters, indicating consistent systemic importance. Short-term spillovers dominate in both systems, particularly during crises such as the COVID-19 pandemic and geopolitical conflicts, where heightened interconnectedness reduces diversification opportunities. The findings emphasize the S&P 500’s pivotal role in traditional financial markets and the evolving significance of AI-driven indices. This dual-system analysis offers critical insights for risk management, portfolio diversification, and policymaking within an increasingly interconnected global financial framework.