Complex network analysis of global stock market co-movement during the COVID-19 pandemic based on intraday open-high-low-close data  

作　　者：Wenyang Huang Huiwen Wang Yigang Wei Julien Chevallier 

机构地区：[1]College of Economics and Management,China Agricultural University,Beijing,China [2]School of Economics and Management,Beihang University,Beijing,China [3]Key Laboratory of Complex System Analysis,Management and Decision(Beihang University),Ministry of Education,Beijing,China [4]Beijing Key Laboratory of Emergency Support Simulation Technologies for City Operations,Beijing,China [5]IPAG Business School(IPAG Lab),184 bd Saint-Germain,Paris,France [6]University of Paris 8(LED),2 rue de la Liberté,Saint-Denis,France

出　　处：《Financial Innovation》2024年第1期4031-4080,共50页金融创新(英文)

基　　金：the financial support from the Beijing Municipal Social Science Foundation(No.20GLC054);the National Natural Science Foundation of China(Nos.72021001,72174020,71904009);the Natural Science Foundation of Beijing Municipality(No.9232014);the Humanities and Social Science Fund of Ministry of Education of China(No.18YJC840041).

摘　　要：This study uses complex network analysis to investigate global stock market co-movement during the black swan event of the Coronavirus Disease 2019(COVID-19)pandemic.We propose a novel method for calculating stock price index correlations based on open-high-low-close(OHLC)data.More intraday information can be utilized compared with the widely used return-based method.Hypothesis testing was used to select the edges incorporated in the network to avoid a rigid setting of the artificial threshold.The topologies of the global stock market complex network constructed using 70 important global stock price indices before(2017-2019)and after(2020-2022)the COVID-19 outbreak were examined.The evidence shows that the degree centrality of the OHLC data-based global stock price index complex network has better power-law distribution characteristics than a return-based network.The global stock market co-movement characteristics are revealed,and the financial centers of the developed,emerging,and frontier markets are identified.Using centrality indicators,we also illustrate changes in the importance of individual stock price indices during the COVID-19 pandemic.Based on these findings,we provide suggestions for investors and policy regulators to improve their international portfolios and strengthen their national financial risk preparedness.

关 键 词：Complex network Stock market co-movement OHLC data Degree centrality analysis 

分 类 号：F42[经济管理—产业经济]