European union effect on financial correlation dynamics
European union effect on financial correlation dynamics
复制标题
欧盟对金融相关动态的影响
DOI：
10.1016/j.physa.2019.121457
复制
发表时间：
2019-08-15
影响因子：
3.3
通讯作者：
Zhong, Li-Xin
中科院分区：
文献类型：
--
作者：
Huang, Li-Ping;Qiu, Tian;Zhong, Li-Xin
社会事件如何影响股票市场是金融动力学的核心问题。本文基于欧洲股市的日数据，研究了欧盟对欧洲股市相关性动态的影响。根据各国加入欧盟的时间，将其股票市场分为前加入欧盟（F-EU）市场、后加入欧盟（L-EU）市场和未加入欧盟（N-EU）市场。通过相关性分析、去趋势互相关分析和偏相关分析，发现欧盟对F-EU市场的相关性影响较大，而对L-EU和N-EU市场的相关性影响较小。在全球股票市场中，欧盟和美国股票市场对Eurostox 50指数的影响强于欧盟和北欧股票市场，亚洲股票市场对Eurostox 50指数的影响较弱。但是，金融危机将增加L-EU和N-EU股票市场的相关性，以及它们对Eurostox 50指数的影响。(C)2019爱思唯尔B. V.保留所有权利。
How social events affect stock markets is a central problem in financial dynamics. In this article, European union effect on correlation dynamics is investigated for European stock markets, based on their daily market data. According to the time the countries enter the European Union(EU), the stock markets are distinguished as the formerly joining the European Union(F-EU) markets, later joining the EU(L-EU) markets, and not joining the EU(N-EU) markets. Based on correlation analysis, Detrended Cross-Correlation Analysis and partial correlation analysis, the union is found to have a great impact on the correlations of F-EU markets, but show little influence on those of the L-EU and N-EU markets. Among the worldwide stock markets, the influence of the F-EU and American stock markets on the Eurostoxx50 index is stronger than that of the L-EU, N-EU markets, and Asian stock markets present weak influence on the Eurostoxx50 index. However, financial crisis would increase the correlations of the L-EU and N-EU stock markets, as well as their influence on the Eurostoxx50 index. (C) 2019 Elsevier B.V. All rights reserved.