A study of systemic risk of global stock markets under COVID-19 based on complex financial networks

In this paper, Granger causalities of stock markets of 20 different countries are estimated from Aug 2019 to Mar 2020. Also, the complex network for global stock markets is established based on the data. Financial risks are identified by comparing the various characteristics of the topology of a complex financial network and the centrality of the stabilization and fluctuation periods. The results demonstrate that COVID-19 leads to close relation of financial connections between various countries, the impact spreads in a shorter distance, and the crisis transmission is faster. Overall, financial crises can be identified using network topological structure and centrality analysis based on network connectivity measurements. The Granger complex network can be employed for measuring and warning the systemic risk. (C) 2020 Elsevier B.V. All rights reserved.