Abstract: With the development of economic globalization and financial integration, the correlation between international financial markets is increasing, and risk contagion has become a focus of attention for all parties. This paper aims to examine the dependent structure and the extreme risk spillover in global stock markets by using the method of Vine Copula. Specifically, this paper uses the Vine Copula to describe the overall dependent structure of the international stock markets, and then examines the extreme risk spillover among the stock markets by tail dependence measure. The conclusions are as follows:(1) The dependent structure of international stock markets presents some characteristics of economic agglomeration, and the dependent structure is slightly different with different Vine Copula models; (2) There is an asymmetric tail dependence between international stock markets, and the lower tail dependence is generally higher than that of the upper tail; (3) The average value of tail dependence in mature markets is relatively high, while that in emerging markets is low, indicating that the financial markets of developed countries still dominate the international financial markets. This paper reveals the important nodes and main relationships of the global financial market correlation map, which has important guiding value for both macro-prudential supervision and micro-investment decision-making.

Key words: financial complexity, Vine Copula, tail dependence, risk spillover