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- W3201765895 abstract "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." @default.
- W3201765895 created "2021-10-11" @default.
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- W3201765895 date "2021-01-01" @default.
- W3201765895 modified "2023-09-23" @default.
- W3201765895 title "Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy" @default.
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- W3201765895 doi "https://doi.org/10.2139/ssrn.3799784" @default.
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