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| 论文编号: |
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| 第一作者所在部门: |
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| 中文论文题目: |
The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets
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| 英文论文题目: |
The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets
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| 论文题目英文: |
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| 作者: |
Zhang, Xingwei
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| 论文出处: |
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| 刊物名称: |
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
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| 年: |
2017
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| 卷: |
2017 |
| 期: |
472 |
| 页: |
32-42 |
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| 收录类别: |
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| 影响因子: |
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| 摘要: |
In this paper, we aim to investigate the dynamic interdependence of international financial markets. Based on the data regarding daily returns of each market during the period 2006-2015 from Yahoo finance, we mainly focus on examining 27 markets from three continents, including Asia, America and Europe. By checking the dynamic interdependence between those markets, we find that markets from different continents have strong correlation at specific time shift. We also obtain that markets from different continents not only have a strong linkage with others at same day, but at a delay of one day, especially between Asia, Europe and Asia, America. In addition, we further analyze the time-varying influence strength between each two continents and observe that this value has abnormal changes during the financial crisis. These findings can provide us significant insights to understand the underlying dynamic interdependency of international financial markets and further help us make corresponding reasonable decisions. (C) 2017 Elsevier B.V. All rights reserved. |
| 英文摘要: |
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