The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets
Zhang, Xingwei1; Zheng, Xiaolong1; Zeng, Daniel Dajun1,2
Source PublicationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
2017-04-15
Volume2017Issue:472Pages:32-42
SubtypeArticle
AbstractIn this paper, we aim to investigate the dynamic interdependence of international financial markets. Based on the data regarding daily returns of each market during the period 2006-2015 from Yahoo finance, we mainly focus on examining 27 markets from three continents, including Asia, America and Europe. By checking the dynamic interdependence between those markets, we find that markets from different continents have strong correlation at specific time shift. We also obtain that markets from different continents not only have a strong linkage with others at same day, but at a delay of one day, especially between Asia, Europe and Asia, America. In addition, we further analyze the time-varying influence strength between each two continents and observe that this value has abnormal changes during the financial crisis. These findings can provide us significant insights to understand the underlying dynamic interdependency of international financial markets and further help us make corresponding reasonable decisions. (C) 2017 Elsevier B.V. All rights reserved.
KeywordDynamic Interdependence Influence Strength Minimum Spanning Tree Cross Correlation
WOS HeadingsScience & Technology ; Physical Sciences
DOI10.1016/j.physa.2016.12.062
WOS KeywordCONTAGION ; NETWORK ; CRISIS ; US
Indexed BySCI ; SSCi
Language英语
Funding OrganizationNational Natural Science Foundation of China(71472175 ; 71621002)
WOS Research AreaPhysics
WOS SubjectPhysics, Multidisciplinary
WOS IDWOS:000394199500004
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Document Type期刊论文
Identifierhttp://ir.ia.ac.cn/handle/173211/14423
Collection复杂系统管理与控制国家重点实验室_互联网大数据与信息安全
Affiliation1.Chinese Acad Sci, Inst Automat, State Key Lab Management & Control Complex Syst, Beijing 100190, Peoples R China
2.Univ Arizona, Dept Management Informat Syst, Tucson, AZ 85721 USA
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Zhang, Xingwei,Zheng, Xiaolong,Zeng, Daniel Dajun. The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2017,2017(472):32-42.
APA Zhang, Xingwei,Zheng, Xiaolong,&Zeng, Daniel Dajun.(2017).The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2017(472),32-42.
MLA Zhang, Xingwei,et al."The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2017.472(2017):32-42.
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