Hitesh Kumar Sahu | Searcharxiv

arXiv2026

The Network Adaptive Market Hypothesis: Detection, Attribution, and Network-Mediated Efficiency

We propose the Network Adaptive Market Hypothesis (NAMH), a novel extension of the adaptive markets framework that conceptualizes market efficiency as a network-dependent equilibrium emerging from long-memory predictability and cross-market information transmission. Using G20 equity indices and five commodity futures over 2001-2026, we identify Japan as the central information hub, while the United States primarily acts as an information broadcaster. Contrary to conventional expectations, systemic crises do not exhibit higher network spectral radii, challenging the assumption that crisis-related fragility necessarily manifests through increased network amplification. Instead, crisis-related spectral contributions are dominated by Australia and the United States. Importantly, variance-decomposition connectedness is more closely associated with network modularity than with spectral radius, with crisis-period increases driven primarily by cross-cluster spillovers. Notably, efficiency-based market groupings explain network connectedness only marginally compared with geography and asset class, while the middle efficiency tier consistently exhibits the greatest idiosyncratic behaviour.

econ.GN↗

arXiv2026

What Drives Contagion? Identifying and Attributing Cross-Border Transmission Mechanisms

We address the joint detection-and-attribution problem in cross-border financial contagion through a two-stage framework. The first stage applies wavelet-quantile transfer entropy across time-scales and lower, median, and upper-tail quantiles. The second stage attributes each significant link to one of five channels comprising of i) Trade, ii) Financial, iii) Geopolitical, iv) Behavioural, and v) Monetary Policy, via instrumental-variables two-stage least squares with channel-specific external instruments, LASSO-based instrument selection (Belloni, Chernozhukov and Hansen, 2014), local projections at one-, five-, and twenty-two-day horizons (Jorda, 2005), heteroskedasticity-based identification (Rigobon, 2003) for episodes in which over-identification is rejected, and Cinelli-Hazlett (2020) sensitivity bounds. The framework is applied to 18 G20 equity markets across eight crisis sub-periods spanning January 2006 to March 2026. Network density varies meaningfully across sub-periods (range 14% to 32%). Dominant-channel identification is robust across methods in the Pre-Crisis baseline and the European Sovereign Debt Crisis, both dominated by financial frictions; for the remaining six episodes identification is method-sensitive, and we report the share posterior alongside an explicit identification-status classification. Trade is empirically prominent across all post-2007 episodes, ranging from 9% during Pre-Crisis to 28% during the Global Financial Crisis. The behavioural channel is bounded above by 22% across all eight episodes under the de-confounded composite. The framework provides a methodologically disciplined account of cross-border contagion mechanisms and offers identification-status disclosure not systematically present in the existing literature.

econ.GN↗