全球金融危机对亚洲股票市场网络的影响

IF 0.3 Q4 BUSINESS, FINANCE

Algorithmic Finance Pub Date : 2017-12-21 DOI:10.3233/AF-170192

Jitendra Aswani

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引用次数: 6

摘要

本研究考察了2008年金融危机前、中、后三个阶段14个亚洲股票市场的网络动态。通过网络统计，我发现危机期间asm网络的互联性比危机前后更强。此外，使用最小生成树(MST)图，我发现香港、日本、韩国和印度的股票市场在这些网络中发挥着重要作用，对这些市场的任何冲击都可能导致传染。贸易和利率差异是这些联系背后的主要推动力。这项工作具有实际意义，因为它提供了对危机期间投资组合多样化的见解，也可以用于预测危机的路径。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Impact of global financial crisis on network of Asian stock markets

This study examines the network dynamics of fourteen Asian Stock Markets (ASMs) in three phases (pre, during, and post) of financial crisis of 2008. Based on network statistics, I find that ASMs network is more interconnected during the crisis period than pre-and post-crisis period. Furthermore, using the Minimum Spanning Tree (MST) diagram, I find that the stock markets of Hong Kong, Japan, Korea, and India play a significant role in these networks and any shock to these markets can lead to contagion. The trade and the interest rate differential are the major driving forces behind these linkages. This work has practical implications as it provides insight on portfolio diversification during the crisis period and can also be used in anticipating the route of crisis.

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来源期刊

Algorithmic Finance BUSINESS, FINANCE-

CiteScore

0.40

自引率

0.00%

发文量

期刊介绍： Algorithmic Finance is both a nascent field of study and a new high-quality academic research journal that seeks to bridge computer science and finance. It covers such applications as: High frequency and algorithmic trading Statistical arbitrage strategies Momentum and other algorithmic portfolio management Machine learning and computational financial intelligence Agent-based finance Complexity and market efficiency Algorithmic analysis of derivatives valuation Behavioral finance and investor heuristics and algorithms Applications of quantum computation to finance News analytics and automated textual analysis.