کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
975020 1480146 2015 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Granger causality stock market networks: Temporal proximity and preferential attachment
ترجمه فارسی عنوان
شبکه علیت گرنجر شبکه سهام: نزدیکی موقتی و دلبستگی ترجیحی
کلمات کلیدی
شبکه های بازار بورس علیت گرنجر، بازارهای نوظهور و مرزی، معاملات غیر همزمان، دلبستگی ترجیحی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی


• Granger causality networks are constructed among 20 developed stock markets.
• A detailed procedure of handling the non-synchronicity of daily data is proposed.
• The spatial probit model is used to study the structure of the created networks.
• Relationships between markets depend on a temporal proximity of closing times.

The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account non-synchronous trading effects. The study of the resulting networks of over 94 sub-samples revealed three significant findings. First, after the recent financial crisis the impact of the US stock market has declined. Second, spatial probit models confirmed the role of the temporal proximity between market closing times for return spillovers, i.e. the time distance between national stock markets matters. Third, a preferential attachment between stock markets exists, i.e. the probability of the presence of spillover effects between any given two markets increases with their degree of connectedness to others.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 427, 1 June 2015, Pages 262–276
نویسندگان
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