The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets
Zhang, Xingwei1; Zheng, Xiaolong1; Zeng, Daniel Dajun1,2
2017-04-15
发表期刊PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷号2017期号:472页码:32-42
文章类型Article
摘要In 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.
关键词Dynamic Interdependence Influence Strength Minimum Spanning Tree Cross Correlation
WOS标题词Science & Technology ; Physical Sciences
DOI10.1016/j.physa.2016.12.062
关键词[WOS]CONTAGION ; NETWORK ; CRISIS ; US
收录类别SCI ; SSCi
语种英语
项目资助者National Natural Science Foundation of China(71472175 ; 71621002)
WOS研究方向Physics
WOS类目Physics, Multidisciplinary
WOS记录号WOS:000394199500004
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文献类型期刊论文
条目标识符http://ir.ia.ac.cn/handle/173211/14423
专题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
作者单位1.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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