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Co-jumps in the Chinese stock market before, during and after the COVID-19 pandemic: A network perspective

Author

Listed:
  • Zou, Renhao
  • Zhang, Shuguang
  • He, Zhipeng
  • Hao, Chenlu

Abstract

This paper investigates co-jumps in the Chinese stock market before, during and after the COVID-19 pandemic from a network perspective. The higher co-jump intensity and the tighter co-jump network connections during the pandemic suggest increased volatility and crash risk. Besides, the similarity of closeness centrality between the networks during and after the pandemic indicates a persistent impact of the pandemic on the Chinese stock market. Moreover, the community detection results show that the pandemic refines and distinguishes the network’s community structure. Furthermore, during the pandemic, the correlation between community structure and industry classification is stronger compared to non-pandemic periods.

Suggested Citation

  • Zou, Renhao & Zhang, Shuguang & He, Zhipeng & Hao, Chenlu, 2024. "Co-jumps in the Chinese stock market before, during and after the COVID-19 pandemic: A network perspective," Finance Research Letters, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013114
    DOI: 10.1016/j.frl.2024.106282
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    Keywords

    Co-jumps; Network; Community detection; COVID-19; Chinese stock market;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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