  This paper proposes a time-zone vector autoregression (VAR) model to
investigate comovements in the global financial market. Analyzing daily data
from 36 national equity markets, we explore the subprime and European debt
crises using static analysis and the COVID-19 crisis through a rolling window
method. Our study of comovements using VAR coefficients reveals a resonance
effect in the global system. Findings on densities and assortativities suggest
the existence of the transmission mechanism in all periods and abnormal
structural changes during the crises. Strength analysis uncovers the
information transmission mechanism across continents over normal and turmoil
periods and emphasizes specific stock markets' unique roles. We examine dynamic
continent strengths to demonstrate the contagion mechanism in the global equity
market over an extended period. Incorporating the time-zone effect
significantly enhances the VAR model's interpretability. Signed networks
provide more information on global equity markets and better identifies
critical contagion patterns than unsigned networks.
