65 citations · 106 across the 3 of their papers we have counts for
3 papers
econ.GN2024★ 23 cited
Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect
Boyao Wu, Difang Huang, Muzi Chen
This paper proposes a time-zone vector autoregression (VAR) model to investigate comovements in the global financial market. Analyzing daily data from 36 national equity markets, w…
econ.EM2024★ 18 cited
Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy
Muzi Chen, Yuhang Wang, Boyao Wu +1
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 St…
econ.EM2024★ 65 cited
Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price
Muzi Chen, Nan Li, Lifen Zheng +2
The connectivity of stock markets reflects the information efficiency of capital markets and contributes to interior risk contagion and spillover effects. We compare Shanghai Stock…