Network structure of cross-correlations among the world market indices

Eryiğit, Mehmet; Eryiğit, Resul

doi:10.1016/j.physa.2009.04.028

Cited by 103 publications

(83 citation statements)

References 20 publications

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“…Previous studies, such as those of M. Eryiǧit and R. Eryiǧit [12] and Goetzmann et al [27], have used correlation coefficients to test for causality in global financial markets. However, correlation does not necessarily imply causation, especially the kind of causation that [28] introduced and which is now widely accepted as the appropriate empirical definition.…”

Section: Methodsmentioning

confidence: 99%

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Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes

Dong

Bowers

Latham

2013

Economics Research International

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This paper employs Granger causality tests to identify the impacts of historical information from global financial markets on their current levels in 30-day windows. The dataset consists primarily of the daily index levels of the (1) open, (2) closed, (3) intraday high, (4) intraday low, and (5) trading volume series for the world's 37 most influential equity market indexes, two crude oil prices, a gold price, and four major money market prices in the United States are used as control groups. Our results indicate a persistent impact of historical information from global markets on their current levels, and this impact duplicates itself in a cyclical pattern consistently over decades. Such persistence in the patterns causes some market indexes to be upgraded to global or regional market leaders. These findings can be interpreted as constituting violations of the weak-form efficient market hypothesis. The results also reveal recursive impacts of information in these markets and the existence of an information digestion effect.

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Section: Methodsmentioning

confidence: 99%

“…Researchers in this field employ various terms for the phenomenon of global financial markets being connected endogenously, including "contagion" [5], "integration" [6], "comovement" [7], "spillover" [8], "interdependence" [9], "interaction" [10], "linkages" [11], and "correlation" [12].…”

Section: Introductionmentioning

confidence: 99%

Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes

Dong

Bowers

Latham

2013

Economics Research International

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“…In describing financial networks, researchers have built network structure and explored the nature of the network statistics of different financial institutions [3][4][5][6][7], stock markets [8][9][10], international stock markets [11], crude oil future and spot markets [12], open-end fund markets [13], and mutual fund markets [14]. For example, Huang et al [15] constructed a financial network of China's SH 180 Index and SZ 100 Index constituent stocks and explored the correlations among the stocks.…”

Section: Related Literaturesmentioning

confidence: 99%

Dynamic Evolution of Securities Market Network Structure under Acute Fluctuation Circumstances

Liu

Chen

2017

Complexity

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This empirical research applies cointegration in the traditional measurement method first to build directed weighted networks in the context of stock market. Then, this method is used to design the indicators and the value simulation for measuring network fluctuation and studying the dynamic evolution mechanism of stock market transaction networks as affected by price fluctuations. Finally, the topological structure and robustness of the network are evaluated. The results show that network structure stability is strong in the bull market stage and weak in the bear market stage. And the convergence rate of the dynamic evolution of network fluctuation is higher in the bull market stage than in the bear market stage.

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“…9 In particular, Onnela et al (2003a,b,c), used MSTs extensively to study the dynamics of cross correlations during market crashes, while many others used clustering techniques based on the MST to discover different sectors in a stock market. 10 At a higher level, the MST have been used to visualize how the interdependences of the European economies are evolving (Gligor and Ausloos, 2007;Gilmore et al, 2008), and how global markets are linked to each other (Miśkiewicz and Ausloos, 2006;Coelho et al, 2007a;Eryigit and Eryigit, 2009). …”

Section: Minimal Spanning Treesmentioning

confidence: 99%

The Japanese Economy in Crises: A Time Series Segmentation Study

et al. 2012

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The authors performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997-2003 crisis, and responded to the most recent global financial crisis in five stages. Of these, the second and main stage affecting 21 industries lasted only 27 days, in contrast to the two-and-a-half-years acrossthe-board recovery from the 1997-2003 financial crisis. We constructed the minimum spanning trees (MSTs) to visualize the Pearson cross correlations between Japanese industries over five macroeconomic periods:

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Network structure of cross-correlations among the world market indices

Cited by 103 publications

References 20 publications

Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes

Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes

Dynamic Evolution of Securities Market Network Structure under Acute Fluctuation Circumstances

The Japanese Economy in Crises: A Time Series Segmentation Study

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