Differences in Capital Market Network Structures under COVID-19

Gábor Dávid Kiss, Mészáros Mercédesz () and Sallai Dóra ()
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Mészáros Mercédesz: Division of Finance, Faculty of Economics and Business Administration, University of Szeged, Szeged
Sallai Dóra: Doctoral School in Economics, Faculty of Economics and Business Administration, University of Szeged, Szeged;

Acta Universitatis Sapientiae, Economics and Business, 2022, vol. 10, issue 1, 15-28

Abstract: This paper analyses the structural changes of the underlying stock and currency markets as well as the industrial productions by using a minimum spanning tree graph on a Central and East European sample. The aim is to point out the similarities and differences of the COVID-19 pandemic compared to previous recessions, namely the Dot-com crisis in the early 2000s and the Subprime crisis around 2008. Focusing on the incidence, closeness, and betweenness properties of the graph, we are looking for the emergence of a shock-propagating hub. We identify such a hub during the Subprime crisis but not during the COVID-19 pandemic, which points to the higher efficiency of the economic policy to absorb the worst effects of the crisis.

Keywords: COVID-19; network; minimum spanning tree graph; CEE (search for similar items in EconPapers)
JEL-codes: C31 C33 D53 E58 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:auseab:v:10:y:2022:i:1:p:15-28:n:12

DOI: 10.2478/auseb-2022-0002

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