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Motivated by the complex dynamics between the oil and stock markets, this study develops a dynamic Markov regime switching‐copula‐extreme value theory model to quantitatively investigate financial contagion and its characteristics between these two markets. The proposed model is applied to daily returns on crude oil prices and the stock markets in the United States and China over six major extreme downside risk events. We find that financial contagion is shorter, stronger, and more susceptible to extreme downside shocks in the United States than in China. In addition, the COVID‐19 crisis shows the largest financial contagion compared with previous crises. [ABSTRACT FROM AUTHOR]

In this study, we investigate the different spillover levels of economic policy uncertainty (EPU) on the oil, gold, and stock markets in China. EPU has the highest levels of the growth and volatility spillover on the gold market, and EPU transmits the lowest levels of growth and volatility spillovers to the oil market. EPU receives the highest level of return spillover from the oil market and the lowest from the gold market. However, EPU receives a higher level of the volatility spillover from the gold and stock markets. Regarding growth spillover, EPU is the net spillover receiver from the oil market and the net spillover transmitter to the gold market. Regarding volatility spillover, EPU is a main spillover receiver from all three markets. All net spillovers from EPU to the oil, gold, and stock markets are time‐varying. The recent financial crisis exerts significant effects on the net spillovers of EPU on the three markets. Highlights: Economic policy uncertainty (EPU) is the net growth spillover receiver from the oil market and the net growth spillover transmitter to the gold market.EPU is a main volatility spillover receiver from all three markets.All net spillovers from EPU to the oil, gold, and stock markets are time‐varying.The recent financial crisis exerts significant effects on the spillovers of EPU on the three markets. [ABSTRACT FROM AUTHOR]