The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets
文献类型：期刊论文
| 作者 | Zhang, Xingwei1; Zheng, Xiaolong1 ; Zeng, Daniel Dajun1,2
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| 刊名 | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
 |
| 出版日期 | 2017-04-15 |
| 卷号 | 472页码:32-42 |
| 关键词 | Dynamic interdependence Influence strength Minimum spanning tree Cross correlation |
| 英文摘要 | 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. |
| WOS标题词 | Science & Technology ; Physical Sciences |
| 类目[WOS] | Physics, Multidisciplinary |
| 研究领域[WOS] | Physics |
| 关键词[WOS] | CONTAGION ; NETWORK ; CRISIS ; US |
| 收录类别 | SCI ; SSCI |
| 语种 | 英语 |
| WOS记录号 | WOS:000394199500004 |
| 源URL | [http://ir.ia.ac.cn/handle/173211/14423]  |
| 专题 | 自动化研究所_复杂系统管理与控制国家重点实验室_互联网大数据与安全信息学研究中心 |
| 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 |
| 推荐引用方式 GB/T 7714 | 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,2017,472:32-42. |
| 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,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 472(2017):32-42. |
入库方式： OAI收割
来源：自动化研究所
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