Analysis of global stock markets’ connections with emphasis on the impact of COVID-19

Hongfeng Guo, Xinyao Zhao, Hang Yu and Xin Zhang

Physica A: Statistical Mechanics and its Applications, 2021, vol. 569, issue C

Abstract: We explore global stock markets’ connections during the financial crises or risks since 1995 with emphasis on the situation under COVID-19. We choose 40 countries/regions and take one index from each of them, and then compute the correlation coefficients and distances between each pair of the indices with a sliding window. We construct the complexes and carry out topological data analysis mainly through persistence landscapes and their Lp-norms, which exhibit the complexes’ daily changes. We establish a critical dates’ detection system based on the persistence landscapes. Topological features of the complex networks are shown on the critical dates and dates before them. All the results show clearly that the connections became even closer among the markets when COVID-19 spread worldwide than those of any other risk. The robustness and effectiveness of these methods provide guidance for the analysis of financial crises in the future.

Keywords: Stock index; Topological data analysis; Persistence landscape; Complex network; COVID-19 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437121000467
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:569:y:2021:i:c:s0378437121000467

DOI: 10.1016/j.physa.2021.125774

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 ().