Research on Risk Transmission Path of Stock Market

DOI

10.2991/assehr.k.210206.043How to use a DOI?

Keywords

Stock market fragility, risk point, best risk transmission path

Abstract

This paper identifies the risk points of the stock market and finds the best transmission path of risks. First, we select the weekly data of listed companies in the stock market from 2013 to 2019 as research samples. The CoVaR method is used to screen out 15 risk-point companies in all industries and study their market risk contribution. Then, we construct the correlation network between risk points and use the minimum spanning tree (MST) to construct the best risk transmission path, and clarify the direction of risk transmission. The research results reveal that the financial industry and real estate industry are the key nodes in the transmission path, and they are significant in risk control. Finally, based on the above analysis, the countermeasures and suggestions for systemic risk control in the stock market are proposed.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Xiaolei Zhang
AU  - Yanan Wang
PY  - 2021
DA  - 2021/02/06
TI  - Research on Risk Transmission Path of Stock Market
BT  - Proceedings of the 2020 International Conference on Modern Education Management, Innovation and Entrepreneurship and Social Science (MEMIESS 2020)
PB  - Atlantis Press
SP  - 215
EP  - 219
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.210206.043
DO  - 10.2991/assehr.k.210206.043
ID  - Zhang2021
ER  -