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 language | English (US) |
|---|---|
| Pages (from-to) | 32-42 |
| Number of pages | 11 |
| Journal | Physica A: Statistical Mechanics and its Applications |
| Volume | 472 |
| DOIs | |
| State | Published - Apr 15 2017 |
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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 journal › Article
}
TY - JOUR
T1 - The dynamic interdependence of international financial markets
T2 - An empirical study on twenty-seven stock markets
AU - Zhang, Xingwei
AU - Zheng, Xiaolong
AU - Zeng, Dajun
PY - 2017/4/15
Y1 - 2017/4/15
N2 - 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.
AB - 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.
KW - Cross correlation
KW - Dynamic interdependence
KW - Influence strength
KW - Minimum spanning tree
UR - http://www.scopus.com/inward/record.url?scp=85008882742&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85008882742&partnerID=8YFLogxK
U2 - 10.1016/j.physa.2016.12.062
DO - 10.1016/j.physa.2016.12.062
M3 - Article
VL - 472
SP - 32
EP - 42
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
SN - 0378-4371
ER -