IDEAS home Printed from https://ideas.repec.org/a/vrs/auseab/v10y2022i1p15-28n12.html
   My bibliography  Save this article

Differences in Capital Market Network Structures under COVID-19

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: https://doi.org/10.2478/auseb-2022-0002
    Download Restriction: no
    File URL: https://libkey.io/10.2478/auseb-2022-0002?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear of Floating," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(2), pages 379-408.
    2. Bonanno, Giovanni & Lillo, Fabrizio & Mantegna, Rosario N., 2001. "Levels of complexity in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 16-27.
    3. Daniel Stefan ARMEANU & Adrian ENCIU & Carmen OBREJA & Sorin-Iulian CIOACA, 2016. "The Effect Of The Financial Crisis On The Returns Of The Cee Capital Markets," Proceedings of the INTERNATIONAL MANAGEMENT CONFERENCE, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 10(1), pages 474-481, November.
    4. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005. "Long-Term Global Market Correlations," The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
    5. Tim Robinson & Andrew Stone, 2006. "Monetary Policy, Asset-Price Bubbles, and the Zero Lower Bound," NBER Chapters, in: Monetary Policy with Very Low Inflation in the Pacific Rim, pages 43-84, National Bureau of Economic Research, Inc.
    6. Varga, János Zoltán, 2016. "The Effect of Interbank Liquidity Surplus on Corporate and Interbank Interest Rates," Public Finance Quarterly, Corvinus University of Budapest, vol. 61(1), pages 94-109.
    7. Heathcote, Jonathan & Perri, Fabrizio, 2004. "Financial globalization and real regionalization," Journal of Economic Theory, Elsevier, vol. 119(1), pages 207-243, November.
    8. Angelo Ranaldo & Paul Söderlind, 2010. "Safe Haven Currencies," Review of Finance, European Finance Association, vol. 14(3), pages 385-407.
    9. Kurov, Alexander, 2010. "Investor sentiment and the stock market's reaction to monetary policy," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 139-149, January.
    10. Chen, Nai-fu & Zhang, Feng, 1997. "Correlations, trades and stock returns of the Pacific-Basin markets," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 559-577, December.
    11. Dumitru Nicuşor Cărăuşu & Bogdan Florin Filip & Elena Cigu & Carmen Toderaşcu, 2018. "Contagion of Capital Markets in CEE Countries: Evidence from Wavelet Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(3), pages 618-641, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jong-Wha Lee & Kwanho Shin, 2010. "Exchange Rate Regimes and Economic Linkages," International Economic Journal, Taylor & Francis Journals, vol. 24(1), pages 1-23.
    2. Sebnem Kalemli-Ozcan & Elias Papaioannou & José-Luis Peydró, 2013. "Financial Regulation, Financial Globalization, and the Synchronization of Economic Activity," Journal of Finance, American Finance Association, vol. 68(3), pages 1179-1228, June.
    3. Coudert, Virginie & Couharde, Cécile & Mignon, Valérie, 2011. "Exchange rate volatility across financial crises," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3010-3018, November.
    4. Neely, Christopher J. & Rapach, David E., 2011. "International comovements in inflation rates and country characteristics," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1471-1490.
    5. Robert-Paul Berben & Jan Marc Berk, 2002. "Requirements for successful currency regimes: the Dutch and Thai experiences," MEB Series (discontinued) 2002-16, Netherlands Central Bank, Monetary and Economic Policy Department.
    6. Bhamra, Harjoat S. & Coeurdacier, Nicolas & Guibaud, Stéphane, 2014. "A dynamic equilibrium model of imperfectly integrated financial markets," Journal of Economic Theory, Elsevier, vol. 154(C), pages 490-542.
    7. Balli, Faruk & Balli, Hatice O. & Jean Louis, Rosmy & Vo, Tuan Kiet, 2015. "The transmission of market shocks and bilateral linkages: Evidence from emerging economies," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 349-357.
    8. Mihir A. Desai & C. Fritz Foley, 2004. "The Comovement of Returns and Investment Within the Multinational Firm," NBER Working Papers 10785, National Bureau of Economic Research, Inc.
    9. Lee A. Smales & Jardee N. Kininmonth, 2016. "FX Market Returns and Their Relationship to Investor Fear," International Review of Finance, International Review of Finance Ltd., vol. 16(4), pages 659-675, December.
    10. Müller, Gernot & Georgiadis, Georgios & Schumann, Ben, 2021. "Global Risk and the Dollar," CEPR Discussion Papers 16245, C.E.P.R. Discussion Papers.
    11. Sebnem Kalemli-Ozcan & Elias Papaioannou & José Luis Peydró, 2010. "Financial Regulation, Integration and Synchronization of Economic Activity," Koç University-TUSIAD Economic Research Forum Working Papers 1005, Koc University-TUSIAD Economic Research Forum, revised Apr 2010.
    12. Li, Hong, 2012. "The impact of China's stock market reforms on its international stock market linkages," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 358-368.
    13. Chia-Hao Lee & Pei-I Chou, 2012. "Trading Activity and Financial Market Integration," The Financial Review, Eastern Finance Association, vol. 47(3), pages 589-616, August.
    14. Kalemli-Ozcan, Sebnem & Sørensen, Bent E & Yosha, Oved, 2004. "Asymmetric Shocks and Risk Sharing in a Monetary Union: Updated Evidence and Policy Implications for Europe," CEPR Discussion Papers 4463, C.E.P.R. Discussion Papers.
    15. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, University Library of Munich, Germany.
    16. Kiss, Gábor Dávid & Kosztopulosz, Andreász, 2012. "The impact of the crisis on the monetary autonomy of Central and Eastern European countries," Public Finance Quarterly, Corvinus University of Budapest, vol. 57(1), pages 28-52.
    17. Mészáros Mercédesz & Kiss Gábor Dávid, 2020. "Spillover effects of unconventional monetary policy on capital markets in the shadow of the Eurozone: A sample of non-Eurozone countries," Review of Economic Perspectives, Sciendo, vol. 20(2), pages 171-195, June.
    18. Gábor Dávid Kiss & Mercédesz Mészáros, 2020. "Gravity Among Central Bank Balance Sheets: Monetary Policy Spill-Over on FX Volatility," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 5(1), pages 33-57, June.
    19. Máté Csiki & Gábor Dávid Kiss, 2018. "Capital Market Contagion in the Stock Markets of Visegrád Countries Based on the Heckman Selection Model," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 17(4), pages 23-52.
    20. Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010. "Exchange Rate Flexibility Across Financial Crises," Working Papers 2010-08, CEPII research center.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vrs:auseab:v:10:y:2022:i:1:p:15-28:n:12. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.sciendo.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.