Author(s)

Cao Danting, Wen Lu

Corresponding Author

Cao Danting

Abstract

The interdependence of stock markets is affected not only by geographical proximity, but also by economic similarity. In order to adapt to the multi-dimensional spatial effect characteristics under the background of crisis contagion, this paper aims at the phenomenon that the existing spatial econometrics weight matrix is insufficient, and proposes to use Clayton-Copula connection function to construct Kendall rank correlation coefficient to define the weight matrix as the carrier of crisis contagion. By constructing the distance attenuation spatial weight matrix, it helps to determine whether the non-traditional economic similarity can satisfy the spatial effect in the context of crisis contagion.

Keywords

Clayton-copula, Spatial correlation, Crisis contagion effect