An ever-closer union? Examining the evolution of linkages of European equity markets via minimum spanning trees

Gilmore, Claire G.; Lucey, Brian M.; Boscia, Marian W.

doi:10.1016/j.physa.2008.07.012

Cited by 79 publications

(39 citation statements)

References 17 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Coelho et al [7] showed that the MST tends to become more compact during the integration of international stock indices. Gilmore et al [21] finds that the mean distances of the MST decrease over time because of stronger co-movements of these markets.…”

Section: Mst Methodologymentioning

confidence: 99%

Dynamic Structure of the Global Financial System of Systems

Khashanah¹,

Li²

2016

View full text Add to dashboard Cite

Purpose: This paper empirically investigates the structural evolution of global financial systems from the system of systems (SoS) view for eleven countries. The financial SoS consists of eleven countries each of which has its own financial system with relative autonomy. The paper aims to provide a prototype of the structural dynamics of the global financial SoS for the eleven financial entities during different phases of the financial markets. Methodology/Approach: The graph-theoretic approach of minimum spanning trees (MST) is applied on two levels to construct the component level of a subsystem within each country and the systemic level of global financial SoS.

show abstract

Section: Mst Methodologymentioning

confidence: 99%

Dynamic Structure of the Global Financial System of Systems

Khashanah¹,

Li²

2016

View full text Add to dashboard Cite

show abstract

“…9 In particular, Onnela et al (2003a,b,c), used MSTs extensively to study the dynamics of cross correlations during market crashes, while many others used clustering techniques based on the MST to discover different sectors in a stock market. 10 At a higher level, the MST have been used to visualize how the interdependences of the European economies are evolving (Gligor and Ausloos, 2007;Gilmore et al, 2008), and how global markets are linked to each other (Miśkiewicz and Ausloos, 2006;Coelho et al, 2007a;Eryigit and Eryigit, 2009). …”

Section: Minimal Spanning Treesmentioning

confidence: 99%

The Japanese Economy in Crises: A Time Series Segmentation Study

et al. 2012

View full text Add to dashboard Cite

The authors performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997-2003 crisis, and responded to the most recent global financial crisis in five stages. Of these, the second and main stage affecting 21 industries lasted only 27 days, in contrast to the two-and-a-half-years acrossthe-board recovery from the 1997-2003 financial crisis. We constructed the minimum spanning trees (MSTs) to visualize the Pearson cross correlations between Japanese industries over five macroeconomic periods:

show abstract

“…In particular, Onnela et al (2003a,b,c), used MSTs extensively to study the dynamics of cross correlations during market crashes, while many others used clustering techniques based on the MST to discover different sectors in a stock market (Onnela et al, 2004;Bonanno et al, 2004;Boginski et al, 2005;Tumminello et al, 2007;Coelho et al, 2007b;Jung et al, 2008). At a higher level, the MST have been used to visualize how the interdependences of the European economies are evolving (Gligor and Ausloos, 2007;Gilmore et al, 2008), and how global markets are linked to each other (Miśkiewicz and Ausloos, 2006;Coelho et al, 2007a;Eryigit and Eryigit, 2009).…”

Section: Minimal Spanning Treesmentioning

confidence: 99%

The Japanese Economy in Crises: A Time Series Segmentation Study

et al. 2011

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract We performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997-2003 crisis, and responded to the most recent global financial crisis in five stages. Of these, the second and main stage affecting 21 industries lasted only 27 days, in contrast to the two-and-a-half-years across-the-board recovery from the 1997-2003 financial crisis. We constructed the minimum spanning trees (MSTs) to visualize the Pearson cross correlations between Japanese industries over five macroeconomic periods: Terms of use: Documents in

show abstract

An ever-closer union? Examining the evolution of linkages of European equity markets via minimum spanning trees

Cited by 79 publications

References 17 publications

Dynamic Structure of the Global Financial System of Systems

Dynamic Structure of the Global Financial System of Systems

The Japanese Economy in Crises: A Time Series Segmentation Study

The Japanese Economy in Crises: A Time Series Segmentation Study

Contact Info

Product

Resources

About