Abstract
COVID‐19 spread throughout the world during 2020, bringing an increase in global financial risk. We use connectedness network to investigate the risk contagion among global stock markets during the COVID‐19 pandemic and analyse its source. Furthermore, we use spectrum analysis to explore the risk contagion effects on different frequency bands, which allows us to explore its speed and channels. We find that the United Kingdom and Italy are core transmitters of risks, and connectedness is mainly driven by low‐frequency components, which demonstrates that the risks are spread by affecting supply chains in global markets and investors’ long‐term expectations for the economy.