Network structure of cross-correlations among the world market indices
Network structure of cross-correlations among the world market indices
复制标题
DOI：
10.1016/j.physa.2009.04.028
复制
发表时间：
2009-09-01
影响因子：
3.3
通讯作者：
Eryigit, Resul
中科院分区：
文献类型：
--
作者：
Eryigit, Mehmet;Eryigit, Resul
我们报告的调查结果的性质的网络形成的交叉相关性的每日和每周的指数变化的143个股票市场指数从59个不同的国家。对上述网络的资产图、最小生成树（MST）和平面最大过滤图（PMFG）的分析证实了近年来全球化的趋势。据观察，北美和欧洲市场之间的联系要比与其他地理区域的一体化强得多。令人惊讶的是，东亚市场之间以及与西方市场的一体化相当薄弱。每日和每周收益相关性的MST和PMFG表明，指数的聚类主要是地理上的。法国fsbf250指数被发现是最重要的节点的MST和PMFG的基础上，几个图中心性措施。(C)2009爱思唯尔有限公司版权所有。
We report the results of an investigation of the properties of the networks formed by the cross-correlations of the daily and weekly index changes of 143 stock market indices from 59 different countries. Analysis of the asset graphs, minimum spanning trees (MST) and planar maximally filtered graphs (PMFG) of the afermentioned networks confirms that globalization has been increasing in recent years. North American and European markets are observed to be much more strongly connected among themselves compared to the integration with the other geographical regions. Surprisingly, the integration of East Asian markets among themselves as well as to the Western markets is found to be rather weak. MST and PMFG of both daily and weekly return correlations indicates that the Clustering of the indices is mostly geographical. The French fsbf250 index is found to be most important node of the MST and PMFG based on several graph centrality measures. (C) 2009 Elsevier B.V. All rights reserved.