The Stock Market Volatility between China and Asean Countries Association Studies based on Complex Networks

Wangke Yu, Shuhua Liu, Ruoqi Pan, Ke Huang, Linyun Deng, Nanning University, China

ABSTRACT

By constructing the volatility network of stock market indexes in China and ASEAN, the mechanism of transnational market risk transmission and the characteristics of key nodes are analysed. Finding the volatility network is a good description of the linkage and tightness of the various share index volatility. The COVID-2019 led to a significant increase in convergence of behaviour patterns of major country share indexes, and significant differences in node changes and topological features of the volatility network. A few share indexes in Singapore and Thailand are key nodes and the source of market risk in the transnational stock market. Dynamic analysis shows that the evolution of share index volatility network reflects that the overall risk of volatility network changes with time, the information link structure of the market changes with time, and major emergencies break the original structure and trigger the information connection in the market. The findings of this paper have important implications for understanding the characteristics of transnational risk transmission between the stock markets of China and ASEAN.

KEYWORDS

China and ASEAN, Stock market, Share index volatility network, Complex networks

Original Source URL: https://aircconline.com/ijdkp/V13N2/13223ijdkp01.pdf

https://airccse.org/journal/ijdkp/vol13.html

Academia: https://www.academia.edu/123603914/November_Issue_International_Journal_of_Data_Mining_and_Knowledge_Management_Process_IJDKP

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 #China #ASEAN #Stockmarket #Shareindexvolatilitynetwork #Complexnetworks #Datamining