کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5053289 1476510 2016 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Contagion in the world's stock exchanges seen as a set of coupled oscillators
ترجمه فارسی عنوان
آلودگی در بورس اوراق بهادار در جهان به عنوان مجموعه ای از اسیلاتورهای متصل شده دیده می شود
کلمات کلیدی
آلودگی بورس های جهانی، تغییر کوری، اسیلاتورهای ادغام و آتش،
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges when each stock exchange acts as an integrate-and-fire oscillator. The characteristic non-linear price behavior of integrate-and-fire oscillators is supported by empirical data and has a behavioral origin called change-blindness. One advantage of the integrate-and-fire dynamics is that it enables a direct identification of cause and effect in price movements, without the need for statistical tests such as Granger causality tests, often used in the identification of causes of contagion. Our methodology can thereby identify the most relevant nodes with respect to onset of contagion in the network of stock exchanges, as well as identify potential periods of high vulnerability of the network. Over the time period of study, our method is able to identify the importance of the U.K. and U.S. markets as sources for propagation of positive returns, whereas, more surprisingly, the Swiss and some Asian markets (China, South Korea) seem to play a particular role with respect to propagation of downturns across markets. The model is characterized by a separation of time scales, brought about by a slow build-up of stresses, for example, due to (say monthly/yearly) macroeconomic factors, and then a fast (say hourly/daily) release of stresses through “price-quakes” in price movements across the world's network of stock exchanges.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 59, December 2016, Pages 224-236
نویسندگان
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