A study of systemic risk of global stock markets under COVID-19 based on complex financial networks

Yujie Lai and Yibo Hu

Physica A: Statistical Mechanics and its Applications, 2021, vol. 566, issue C

Abstract: In this paper, Granger causalities of stock markets of 20 different countries are estimated from Aug 2019 to Mar 2020. Also, the complex network for global stock markets is established based on the data. Financial risks are identified by comparing the various characteristics of the topology of a complex financial network and the centrality of the stabilization and fluctuation periods. The results demonstrate that COVID-19 leads to close relation of financial connections between various countries, the impact spreads in a shorter distance, and the crisis transmission is faster. Overall, financial crises can be identified using network topological structure and centrality analysis based on network connectivity measurements. The Granger complex network can be employed for measuring and warning the systemic risk.

Keywords: Systemic risk; Complex financial network; Granger causality; Network centrality (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437120309110
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:566:y:2021:i:c:s0378437120309110

DOI: 10.1016/j.physa.2020.125613

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().