<p>Although equity markets are widely recognized as interconnected, the drivers of these linkages remain less well understood. This paper examines how equity return shocks are transmitted across nine developed stock markets from 2017 to 2023 and whether spillovers vary with macroeconomic conditions. Using daily benchmark index returns and the spillover framework of Diebold and Yilmaz in a rolling-window generalized vector autoregression setting, the study examines spillovers during the coronavirus disease 2019 pandemic and the Russia–Ukraine war, links total spillovers to monetary policy and policy uncertainty, and evaluates whether net directional spillovers differ across interest-rate environments. North American and European markets are net transmitters of return shocks, whereas Asian markets are net receivers. Total spillovers surged during the coronavirus disease 2019 pandemic and rose again around the Russia–Ukraine war. Determinant regressions show that total spillovers increased under a tighter United States monetary policy stance, higher United States policy uncertainty, and during the coronavirus disease 2019 pandemic. Net directional spillovers also varied with pandemic severity and interest rate environments, consistent with cross-border portfolio rebalancing.</p>