Abstract: Affected by the COVID-19 epidemic and falling oil prices, global financial markets are under tremendous downward pressure. There is great concern and vigilance about whether the turmoil in the US financial market will evolve into a financial crisis. At the same time, the spillover effects between financial sub-markets have multiplier influences on the financial crisis. Under this circumstance, this study focuses on effectively describing the spillovers among financial sub-markets and accurately realizing the early warning of the financial market crisis in the United States. Firstly, based on the characteristics of recent financial market volatility under the impact of the epidemic, 15 financial crisis warning indicators covering 9 sub-markets are selected. Secondly, a novel volatility spillover network method, which is based on generalized prediction error variance decomposition and complex network technology, is adopted to characterize the spillover features among financial markets. Then, two integrated strategies for crisis warning signals are generated based on traditional integration weights and considering the spillover effects of warning indicators. Finally, the KLR signal model is operated to extract and quantify the crisis early warning signals of the US financial market under the impact of the COVID-19 epidemic, which will help our country avoid or reduce the possible damage caused by the financial crisis, ensure high-quality economic development and maintain social prosperity stable.

Key words: financial crisis; early warning; signal analysis; spillover effect