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Jumping Risk Communities in the Energy Industry: An Empirical Analysis Based on Time‐Varying Complex Networks

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  • Hui Wang
  • Lili Jiang
  • Hongjun Duan
  • Yifeng Wang
  • Yichen Jiang
  • Xiaolei Zhang

Abstract

This paper uses the 5‐five‐minute high‐frequency data of energy‐listed companies in China's A‐share market to extract the jump of energy stock prices and build a dynamic stock price jump complex network. Then, we analyze the clustering effect of the complex network. The research shows that the energy stock price jump is an important part of stock price volatility, and the complex network of energy stock jump risk has obvious time‐varying characteristics. However, the infection problem of stock price jump risks needs specific analysis. China's coal industry has an important influence on the development of China's energy industry. According to the clustering analysis results of the network community, the clustering effect of the network community has time‐varying characteristics. After October 2017, the clustering effect of the jumping risk of the coal industry and the new energy industry is obvious. The risk contagion within the new energy industry community is a key point for the development of the new energy industry.

Suggested Citation

  • Hui Wang & Lili Jiang & Hongjun Duan & Yifeng Wang & Yichen Jiang & Xiaolei Zhang, 2022. "Jumping Risk Communities in the Energy Industry: An Empirical Analysis Based on Time‐Varying Complex Networks," Complexity, John Wiley & Sons, vol. 2022(1).
    • Handle: RePEc:wly:complx:v:2022:y:2022:i:1:n:8642443
    DOI: 10.1155/2022/8642443
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