Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)

<Previous Article In Volume
Next Article In Volume>

A Study on the Network Effects of Risk Contagion Among Global Stock Markets Under the Impact of COVID-19

Authors
Xiu Zhang1, Jiaman Song1, Shan Lu1, Qian Wang2, *
1Jilin University of Finance and Economics, Nanguan District, No. 3699, Jingyue Street, Changchun, China
2Shanghai Normal University Tianhua College, North Shengxin Road, Jiading District, Shanghai, China
*Corresponding author. Email: hi_wangqian@126.com
Corresponding Author
Qian Wang
Available Online 10 August 2023.
DOI
10.2991/978-94-6463-198-2_103How to use a DOI?
Keywords
Systemic risk; Risk overflow network; Generalized variance decomposition; Dynamic correlation degree
Abstract

How the risk contagion network of the global stock markets changes under the impact of COVID-19 has always been a hot issue in academic circles. In this paper, the generalized variance decomposition method is used to construct the stock market risk spillover network of 11 countries in the world, and the dynamic correlation degree of stock market risk is obtained by the rolling window prediction method. On this basis, we investigate the changes and characteristics of the risk-contagion relationship among stock markets against the background of the COVID-19 outbreak. It is found that there is an obvious cross-industry spillover between stock markets, and the stock market risk contagion network has an obvious "small world" feature. During the outbreak of COVID-19, the density of risk transmission networks between markets increased. At the same time, the network connectivity is higher, and the infection path in the network is more direct. Under the impact of COVID-19, Australia and the United States are at the center of the network.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Download article (PDF)

<Previous Article In Volume
Next Article In Volume>
Volume Title
Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
Series
Atlantis Highlights in Computer Sciences
Publication Date
10 August 2023
ISBN
10.2991/978-94-6463-198-2_103
ISSN
2589-4900
DOI
10.2991/978-94-6463-198-2_103How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Xiu Zhang
AU  - Jiaman Song
AU  - Shan Lu
AU  - Qian Wang
PY  - 2023
DA  - 2023/08/10
TI  - A Study on the Network Effects of Risk Contagion Among Global Stock Markets Under the Impact of COVID-19
BT  - Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
PB  - Atlantis Press
SP  - 990
EP  - 1000
SN  - 2589-4900
UR  - https://doi.org/10.2991/978-94-6463-198-2_103
DO  - 10.2991/978-94-6463-198-2_103
ID  - Zhang2023
ER  -