Muzi Chen, Yuhang Wang, Boyao Wu, Difang Huang
arXiv 28 Mar 2024 · Econometrics · publishedEntropy (2021) · 17 citations (OpenAlex)
arXiv:2403.19439 · PDF · DOI · OpenAlex · Extracted main text
The interactive effect is significant in the Chinese stock market, exacerbating the abnormal market volatilities and risk contagion. Based on daily stock returns in the Shanghai Stock Exchange (SSE) A-shares, this paper divides the period between 2005 and 2018 into eight bull and bear market stages to investigate interactive patterns in the Chinese financial market. We employ the LASSO method to construct the stock network and further use the Map Equation method to analyze the evolution of modules in the SSE A-shares market. Empirical results show: (1) The connected effect is more significant in bear markets than bull markets; (2) A system module can be found in the network during the first four stages, and the industry aggregation effect leads to module differentiation in the last four stages; (3) Some stocks have leading effects on others throughout eight periods, and medium- and small-cap stocks with poor financial conditions are more likely to become risk sources, especially in bear markets. Our conclusions are beneficial to improving investment strategies and making regulatory policies.
appendix boundary found by appendix_command · 95% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Garratt, R. J., Mahadeva, L., and Svirydzenka, K (2014) The great entanglement: The contagious capacity of the international banking network just before the 2008 crisis | 0.644 | 2 | 2 | 100% |
| 2 | Rosvall, M. and Bergstrom, C. T (2007) An information-theoretic framework for resolving community structure in complex networks | 0.644 | 2 | 2 | 100% |
| 3 | Wu, B (2019) The global stock network connected and resonance effect based on the time-zone VAR model with LASSO self | 0.511 | 2 | 1 | 100% |
| 4 | Yu, D., Huang, D., and Chen, L (2020) Stock return predictability and cyclical movements in valuation ratios self | 0.405 | 1 | 1 | 100% |
| 5 | Acemoglu, D., Ozdaglar, A., and Tahbaz-Salehi, A (2015) Systemic risk and stability in financial networks | 0.405 | 1 | 1 | 100% |
| 6 | Acharya, V., Engle, R., and Richardson, M (2012) Capital shortfall: A new approach to ranking and regulating systemic risks † | 0.405 | 1 | 1 | 100% |
| 7 | Adeloye, D., Basquill, C., Papana, A., Chan, K. Y., Rudan, I., and C… (2015) An estimate of the prevalence of copd in africa: a systematic analysis | 0.405 | 1 | 1 | 100% |
| 8 | Adeloye, D., Chua, S., Lee, C., Basquill, C., Papana, A., Theodorato… (2015) Global and regional estimates of copd prevalence: Systematic review and meta-analysis | 0.405 | 1 | 1 | 100% |
| 9 | Battiston, S., Gatti, D. D., Gallegati, M., Greenwald, B. C., and St… (2012) Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk | 0.405 | 1 | 1 | 100% |
| 10 | Bech, M. L., Bergstrom, C. T., Rosvall, M., and Garratt, R. J (2015) Mapping change in the overnight money market | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 47 scored citations.