Correlation Analysis of Stock Markets Along the Belt and Road: A Generalised Complex Network Approach

Abstract

. This study investigates the correlations between stock market indices in representative countries or regions along the Belt and Road using a generalised complex network based on the maximum information coefficient. Also, the dynamic correlation characteristics of the focused stock market indices are analysed utilising the minimum spanning tree. Firstly, the results show that, since the introduction of the Belt and Road policy, the Chinese stock market has emerged as the center of the stock index networks, establishing stronger associations with the stock indices of other countries or regions. Secondly, throughout all sub-sample periods, especially before the policy was put forward, the stock index networks of the stock market indices of representative countries or regions along the Belt and Road generally exhibit aggregation patterns of regional geography in the mass. Thirdly, the correlation between these stock market indices is significantly strengthened during extreme shocks. Finally, since 2015, with the progressive deepening of investment and trade between China and other countries or regions along the Belt and Road, the degree of relationship between these stock market indices under discussion has been undergoing changes.