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Differences in Capital Market Network Structures under COVID-19

Differences in Capital Market Network Structures under COVID-19 AbstractThis paper analyses the structural changes of the underlying stock and currency markets as well as the industrial productions by using a minimum spanning tree graph on a Central and East European sample. The aim is to point out the similarities and differences of the COVID-19 pandemic compared to previous recessions, namely the Dot-com crisis in the early 2000s and the Subprime crisis around 2008. Focusing on the incidence, closeness, and betweenness properties of the graph, we are looking for the emergence of a shock-propagating hub. We identify such a hub during the Subprime crisis but not during the COVID-19 pandemic, which points to the higher efficiency of the economic policy to absorb the worst effects of the crisis. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Universitatis Sapientiae, Economics and Business de Gruyter

Differences in Capital Market Network Structures under COVID-19

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Publisher
de Gruyter
Copyright
© 2022 Gábor Dávid Kiss, et al., published by Sciendo
eISSN
2360-0047
DOI
10.2478/auseb-2022-0002
Publisher site
See Article on Publisher Site

Abstract

AbstractThis paper analyses the structural changes of the underlying stock and currency markets as well as the industrial productions by using a minimum spanning tree graph on a Central and East European sample. The aim is to point out the similarities and differences of the COVID-19 pandemic compared to previous recessions, namely the Dot-com crisis in the early 2000s and the Subprime crisis around 2008. Focusing on the incidence, closeness, and betweenness properties of the graph, we are looking for the emergence of a shock-propagating hub. We identify such a hub during the Subprime crisis but not during the COVID-19 pandemic, which points to the higher efficiency of the economic policy to absorb the worst effects of the crisis.

Journal

Acta Universitatis Sapientiae, Economics and Business – de Gruyter

Published: Sep 1, 2022

Keywords: COVID-19; network; minimum spanning tree graph; CEE; C31; C33; D53; E58

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