In this talk, we proposed a two-layer SIR propagation model with an infective medium to analyze the spread of financial shocks. By applying the model to constituent stocks included in three prominent indices, Standard & Poor 500, Shanghai and Shenzhen 300, and Hang Seng(medium), we established a two-layer Granger networks. Betweenness showed that the Hong Kong stock market had a promoting transition function of financial shocks between the US stock markets and the Chinese Mainland stock markets. In addition, with a big basic reproduction number, stock markets system appeared to be vulnerable during extreme financial shock such as the outbreak of COVID-19 epidemic and the meltdown of stock markets.