The Stock Market Volatility Research between China and ASEAN based on Complex Networks


Wangke Yu1, Shuhua Liu2, Ruoqi Pan1, Ke Huang1, Linyun Deng1, 1Nanning University, China, 2Guangxi Academy of Social Sciences, China


By constructing the volatility network of stock market indexes in China and ASEAN, the mechanism of transnational market risk transmission and the characteristics of key nodes are analysed. Finding the volatility network is a good description of the linkage and tightness of the various share index volatility. The COVID-19 led to a significant increase in convergence of behaviour patterns of major country share indexes, and significant differences in node changes and topological features of the volatility network. Dynamic analysis shows that the evolution of share index volatility network reflects that the overall risk of volatility network changes with time, the information link structure of the market changes with time, and major emergencies break the original structure and trigger the information connection in the market. The findings of this paper have important implications for understanding the characteristics of transnational risk transmission between the stock markets of China and ASEAN.


China and ASEAN, Stock market, Share index volatility network, Complex networks