Research on Risk Contagion among Financial Submarkets in China Based on Complex Networks
As the COVID-19 outbreak has an impact on the global economy, there will be interest in how China’s financial markets function during the outbreak. To investigate the path of risk contagion in China’s financial sub-markets before and after the COVID-19 outbreak, we divided the 2016–2021 period into...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-08-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/24/8/1120 |
| _version_ | 1827617940051066880 |
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| author | Yuhua Xu Yue Zhao Mengna Liu Chengrong Xie |
| author_facet | Yuhua Xu Yue Zhao Mengna Liu Chengrong Xie |
| author_sort | Yuhua Xu |
| collection | DOAJ |
| description | As the COVID-19 outbreak has an impact on the global economy, there will be interest in how China’s financial markets function during the outbreak. To investigate the path of risk contagion in China’s financial sub-markets before and after the COVID-19 outbreak, we divided the 2016–2021 period into two phases. Based on the time of the COVID-19 outbreak, we divided the new stage of economic development into pre-epidemic and post-epidemic stages and employed the DCC-GARCH model to investigate the dynamic correlation coefficients among the financial sub-markets in China. Furthermore, we employed complex network theory and the minimum tree model to describe the risk contagion path between two-stage Chinese financial submarkets. Finally, we provided pertinent recommendations for investors and policymakers and conducted a brief discussion based on the findings of the research. |
| first_indexed | 2024-03-09T09:57:32Z |
| format | Article |
| id | doaj.art-901b204a5c444ed890a0d4f5ce205bab |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-03-09T09:57:32Z |
| publishDate | 2022-08-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-901b204a5c444ed890a0d4f5ce205bab2023-12-01T23:40:20ZengMDPI AGEntropy1099-43002022-08-01248112010.3390/e24081120Research on Risk Contagion among Financial Submarkets in China Based on Complex NetworksYuhua Xu0Yue Zhao1Mengna Liu2Chengrong Xie3School of Finance, Nanjing Audit University, Nanjing 211815, ChinaSchool of Finance, Nanjing Audit University, Nanjing 211815, ChinaSchool of Finance, Nanjing Audit University, Nanjing 211815, ChinaSchool of Statistics and Mathematics, Nanjing Audit University, Nanjing 211815, ChinaAs the COVID-19 outbreak has an impact on the global economy, there will be interest in how China’s financial markets function during the outbreak. To investigate the path of risk contagion in China’s financial sub-markets before and after the COVID-19 outbreak, we divided the 2016–2021 period into two phases. Based on the time of the COVID-19 outbreak, we divided the new stage of economic development into pre-epidemic and post-epidemic stages and employed the DCC-GARCH model to investigate the dynamic correlation coefficients among the financial sub-markets in China. Furthermore, we employed complex network theory and the minimum tree model to describe the risk contagion path between two-stage Chinese financial submarkets. Finally, we provided pertinent recommendations for investors and policymakers and conducted a brief discussion based on the findings of the research.https://www.mdpi.com/1099-4300/24/8/1120risk contagionfinancial sub-marketscomplex network |
| spellingShingle | Yuhua Xu Yue Zhao Mengna Liu Chengrong Xie Research on Risk Contagion among Financial Submarkets in China Based on Complex Networks Entropy risk contagion financial sub-markets complex network |
| title | Research on Risk Contagion among Financial Submarkets in China Based on Complex Networks |
| title_full | Research on Risk Contagion among Financial Submarkets in China Based on Complex Networks |
| title_fullStr | Research on Risk Contagion among Financial Submarkets in China Based on Complex Networks |
| title_full_unstemmed | Research on Risk Contagion among Financial Submarkets in China Based on Complex Networks |
| title_short | Research on Risk Contagion among Financial Submarkets in China Based on Complex Networks |
| title_sort | research on risk contagion among financial submarkets in china based on complex networks |
| topic | risk contagion financial sub-markets complex network |
| url | https://www.mdpi.com/1099-4300/24/8/1120 |
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