发表期刊：Journal of International Money and Finance
发表时间：February 2026
作者及单位：Zeyun Bei, Liyuan Cui, Yinggang Zhou*(Center for Macroeconomic Research and Department of Finance at School of Economics, Wang Yanan Institute for Studies in Economics, Xiamen University)
摘要：Debate remains about what drives global spillovers across financial markets. We address this question by examining the roles of sentiment, liquidity, and other fundamental linkages. Investor sentiment principally drives short-term spillovers, while long-term transmission is primarily influenced by liquidity. Moreover, we highlight the essential influence of capital flows in adjusting market liquidity and triggering global spillovers. Investor sentiment significantly intensifies the impacts of capital flows and unconventional monetary policies, contributing to potential systemic risks during distress. Additionally, we propose a new approach to capturing the structural changes in spillover networks and decomposing them into short- and long-term components.
关键词：Liquidity; Sentiment; Global spillover
