کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
977767 933205 2008 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An ever-closer union? Examining the evolution of linkages of European equity markets via minimum spanning trees
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
An ever-closer union? Examining the evolution of linkages of European equity markets via minimum spanning trees
چکیده انگلیسی
The concept of a minimum spanning tree (MST) is used to study the process of comovements for 21 European Union stock market indices. We show how the minimum spanning tree and its related hierarchical tree evolve over time and describe the dynamics. Over the period studied, 1999-2006, the French equity market provides the main linkages in the system. The 2004 Accession states are more loosely connected to the other markets; they form two groupings, with the Czech Republic, Hungary, and Poland having tighter links to the main markets than the remaining Accession markets. Shorter distances between markets indicate a potential reduction of the benefits of international portfolio diversification in European markets, with the possible exception of those markets at the outer limits of the MST.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 25, 1 November 2008, Pages 6319-6329
نویسندگان
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