We constructed a multilayer information spillover network containing a return spillover layer, a volatility spillover layer, and an extreme risk spillover layer to explore the system risk in the oil and G20 stock markets during 2006–2022. This paper explores the topology of the static and dynamic multilayer networks from both system-level and market-level perspectives. We find that: (i) At the system-level, the structure of layers is significantly different from each other, and risk is transmitted mainly in the volatility spillover layer. In t...
