Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect

no code implementations • 5 Apr 2024 • Boyao Wu, Difang Huang, Muzi Chen

This paper proposes a time-zone vector autoregression (VAR) model to investigate comovements in the global financial market.

Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy

no code implementations • 28 Mar 2024 • Muzi Chen, Yuhang Wang, Boyao Wu, Difang Huang

The interactive effect is significant in the Chinese stock market, exacerbating the abnormal market volatilities and risk contagion.

Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price

no code implementations • 28 Mar 2024 • Muzi Chen, Nan Li, Lifen Zheng, Difang Huang, Boyao Wu

First, compared with tranquil periods, the SSE A-shares network experiences a more significant small-world and connective effect during the subprime mortgage crisis and the high leverage period in 2015.