Kelong Li, Chi Xie, Yingbo Ouyang, Tingcheng Mo, Zhijian Zeng
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引用次数: 0
Abstract
Several public events have drawn renewed attention to the connectedness of the international stock market since the financial crisis of 2008. We investigate systemic and regional connectedness among stock markets around the world at major public events by constructing correlation networks for 46 markets based on the dynamic time-warping method. We find that (i) geographic regionalization is typically observed in the stock market network, in which France is dominant, (ii) Europe has the greatest and the Middle East and Africa the least within-region connectedness, (iii) the correlation network structure is highly integrated and compact at major public events, and global events influence the international stock market more significantly than regional events do, and (iv) the importance of China reaches its peak during the era of Sino-US trade friction, showing that public events have enormous impacts on the countries involved.
期刊介绍:
Complexity is a cross-disciplinary journal focusing on the rapidly expanding science of complex adaptive systems. The purpose of the journal is to advance the science of complexity. Articles may deal with such methodological themes as chaos, genetic algorithms, cellular automata, neural networks, and evolutionary game theory. Papers treating applications in any area of natural science or human endeavor are welcome, and especially encouraged are papers integrating conceptual themes and applications that cross traditional disciplinary boundaries. Complexity is not meant to serve as a forum for speculation and vague analogies between words like “chaos,” “self-organization,” and “emergence” that are often used in completely different ways in science and in daily life.