| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481395 | Physica A: Statistical Mechanics and its Applications | 2012 | 12 Pages |
Abstract
⺠We examine the causality change among five emerging markets. ⺠We utilize the cumulative sum test to detect the outburst point of the financial tsunami. ⺠We develop a method based on partial directed coherence to make the comparison of causality. ⺠We find that a regional influence of Chinese market has arisen. ⺠Crisis effects depend on the magnitude of the market under an exogenous crisis assumption.
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Eddie C.M. Hui, Jia Chen,