Network, correlation, and community structure of the financial sector of Bursa Malaysia before, during, and after COVID-19

Bahari, Nurun Najwa and Bahaludin, Hafizah and Ismail, Munira and Abdul Razak, Fatimah (2024) Network, correlation, and community structure of the financial sector of Bursa Malaysia before, during, and after COVID-19. Data Science in Finance and Economics, 4 (3). pp. 362-387. ISSN 2769-2140

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Abstract

COVID-19 triggered a worldwide economic decline and raised concerns regarding its economic consequences on stock markets across the globe, notably on the Malaysian stock market. We examined how COVID-19 impacted Malaysia's financial market using correlation and network analysis. We found a rise in correlations between stocks during the pandemic, suggesting greater interdependence. To visualize this, we created networks for pre-pandemic, during-pandemic, and post-pandemic periods. Additionally, we built a network for the during-pandemic period with a specific threshold corresponding to pre- and post-pandemic network density. The networks during the pandemic showed increased connectivity and only contained positive correlations, reflecting synchronized stock movements. Last, we analyzed the networks' modularity, revealing highest modularity during the pandemic, which suggests stronger yet risk-prone communities.

Item Type:	Article (Journal)
Uncontrolled Keywords:	modularity, Louvain, community detection, Malaysia stock market, correlation network, COVID-19
Subjects:	Q Science > QA Mathematics
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Science > Department of Computational and Theoretical Sciences Kulliyyah of Science
Depositing User:	Hafizah Bahaludin
Date Deposited:	12 Aug 2024 11:14
Last Modified:	12 Aug 2024 11:45
URI:	http://irep.iium.edu.my/id/eprint/113819

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