Comparative Evaluation of Graph Neural Networks for Cross-Market Risk Contagion Path Identification in Multi-Layer Financial Networks

Yifei Li and Xuanyi Fu

Journal of Sustainability, Policy, and Practice, 2026, vol. 2, issue 3, 1-14

Abstract: Cross-market risk contagion---the propagation of financial distress across asset classes such as equities, bonds, derivatives, and foreign exchange---poses a persistent challenge for systemic risk monitoring. While graph neural networks (GNNs) have demonstrated strong performance in single-market financial risk tasks, their effectiveness for identifying contagion paths across interconnected multi-layer financial networks remains insufficiently explored. This paper presents a comparative empirical evaluation of four GNN architectures---GCN, GAT, GraphSAGE, and EvolveGCN---alongside a spatial-temporal graph convolutional baseline (ASTGCN) and three traditional econometric methods, applied to multi-layer financial networks constructed from U.S. equity, bond, derivatives, and foreign exchange market data spanning January 2018 to December 2023. The evaluation covers contagion path identification accuracy against realized stress episodes, node vulnerability ranking precision, the incremental benefit of multi-layer network construction over single-layer alternatives, sensitivity to edge-density thresholds, and a feature-matched comparison that isolates the contribution of graph-based nonlinear aggregation from that of richer input features. Results indicate that temporal-aware GNN architectures achieve moderate yet consistent gains in contagion detection, with ASTGCN attaining the highest AUC-ROC of 0.841 (95% CI: [0.823, 0.858]) on multi-layer networks. Multi-layer construction yields a 7.9 percentage-point improvement in AUC-ROC over the best single-layer configuration (95% CI: [5.4, 10.3] pp, p

Keywords: graph neural networks; cross-market risk contagion; multi-layer financial networks; systemic risk (search for similar items in EconPapers)
Date: 2026
References: Add references at CitEc
Citations:

Downloads: (external link)
https://pinnaclepubs.com/index.php/jspp/article/view/709/682 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dba:jsppaa:v:2:y:2026:i:3:p:1-14

Access Statistics for this article

More articles in Journal of Sustainability, Policy, and Practice from Pinnacle Academic Press
Bibliographic data for series maintained by Joseph Clark ().