کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
976318 933108 2009 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Network structure of cross-correlations among the world market indices
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Network structure of cross-correlations among the world market indices
چکیده انگلیسی

We report the results of an investigation of the properties of the networks formed by the cross-correlations of the daily and weekly index changes of 143 stock market indices from 59 different countries. Analysis of the asset graphs, minimum spanning trees (MST) and planar maximally filtered graphs (PMFG) of the afermentioned networks confirms that globalization has been increasing in recent years. North American and European markets are observed to be much more strongly connected among themselves compared to the integration with the other geographical regions. Surprisingly, the integration of East Asian markets among themselves as well as to the Western markets is found to be rather weak. MST and PMFG of both daily and weekly return correlations indicates that the clustering of the indices is mostly geographical. The French fsbf250 index is found to be most important node of the MST and PMFG based on several graph centrality measures.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 388, Issue 17, 1 September 2009, Pages 3551–3562
نویسندگان
, ,