Co-jumps in the Chinese stock market before, during and after the COVID-19 pandemic: A network perspective

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This paper investigates co-jumps in the Chinese stock market before, during and after the COVID-19 pandemic from a network perspective. The higher co-jump intensity and the tighter co-jump network connections during the pandemic suggest increased volatility and crash risk. Besides, the similarity of closeness centrality between the networks during and after the pandemic indicates a persistent impact of the pandemic on the Chinese stock market. Moreover, the community detection results show that the pandemic refines and distinguishes the network’s community structure. Furthermore, during the pandemic, the correlation between community structure and industry classification is stronger compared to non-pandemic periods.