Differences in Capital Market Network Structures under COVID-19

Abstract

Abstract This paper analyses the structural changes of the underlying stock and currency markets as well as the industrial productions by using a minimum spanning tree graph on a Central and East European sample. The aim is to point out the similarities and differences of the COVID-19 pandemic compared to previous recessions, namely the Dot-com crisis in the early 2000s and the Subprime crisis around 2008. Focusing on the incidence, closeness, and betweenness properties of the graph, we are looking for the emergence of a shock-propagating hub. We identify such a hub during the Subprime crisis but not during the COVID-19 pandemic, which points to the higher efficiency of the economic policy to absorb the worst effects of the crisis.