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Differences in Capital Market Network Structures under COVID-19

Author

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  • Kiss Gábor Dávid

    (Division of Finance, Faculty of Economics and Business Administration, University of Szeged, Szeged)

  • Mészáros Mercédesz

    (Division of Finance, Faculty of Economics and Business Administration, University of Szeged, Szeged)

  • Sallai Dóra

    (Doctoral School in Economics, Faculty of Economics and Business Administration, University of Szeged, Szeged;)

Abstract

This 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.

Suggested Citation

  • Kiss Gábor Dávid & Mészáros Mercédesz & Sallai Dóra, 2022. "Differences in Capital Market Network Structures under COVID-19," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 10(1), pages 15-28, September.
    • Handle: RePEc:vrs:auseab:v:10:y:2022:i:1:p:15-28:n:12
    DOI: 10.2478/auseb-2022-0002
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    References listed on IDEAS

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    More about this item

    Keywords

    COVID-19; network; minimum spanning tree graph; CEE;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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