The dynamic interdependence of international financial markets

An empirical study on twenty-seven stock markets

Xingwei Zhang, Xiaolong Zheng, Dajun Zeng

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

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.

Original languageEnglish (US)
Pages (from-to)32-42
Number of pages11
JournalPhysica A: Statistical Mechanics and its Applications
Volume472
DOIs
StatePublished - Apr 15 2017

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continents
Financial Markets
Stock Market
Empirical Study
finance
Financial Crisis
linkages
Interdependencies
Finance
Linkage
Time-varying
Market
shift

Keywords

  • Cross correlation
  • Dynamic interdependence
  • Influence strength
  • Minimum spanning tree

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

Cite this

The dynamic interdependence of international financial markets : An empirical study on twenty-seven stock markets. / Zhang, Xingwei; Zheng, Xiaolong; Zeng, Dajun.

In: Physica A: Statistical Mechanics and its Applications, Vol. 472, 15.04.2017, p. 32-42.

Research output: Contribution to journalArticle

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