On the Dynamic of Stock Market Integration: A Minimum Spanning Tree Analysis

Setiawan, Kusdhianto

doi:10.1007/bf03405731

Cited by 5 publications

(3 citation statements)

References 35 publications

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“…The authors of [37] found a star-like minimum spanning tree structure of the 20 financial market indices prior to the crisis that turned out to be a chain-like structure during the crisis period. In addition, the results in [38] demonstrate regional clustering, and strong integration during the economic crises between 21 stock indices. Recently, Ref.…”

Section: Literature Reviewmentioning

confidence: 86%

The Impact of COVID-19 on the Dynamic Topology and Network Flow of World Stock Markets

Memon

Yao

2021

Journal of Open Innovation: Technology, Market, and Complexity

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Studies examining the impact of COVID-19 using network dynamics are scant and tend to evaluate a specific local stock market. We present a thorough investigation of 58 world stock market networks using a complex network approach spanning across the uncertain times that have resulted from the coronavirus outbreak. First, we use the daily closing prices of the world stock market indices to construct dynamic complex networks and sixteen minimum spanning tree (MST) maps for the period from December 2019 to March 2021. Second, we present the topological evolution properties of time-varying MSTs by applying normalized tree length, diameter, average path length, and centrality measures. Moreover, the empirical results suggest that (1) the highest correlation among the world stock markets is observed during the first wave of the COVID-19 pandemic in the months of February–March 2020; (2) most of the MSTs appear lower in hierarchy, and many chain-like structures are formed due to the sheer impact of pandemic-related crises; (3) Germany remained a hub node in many of the MSTs; and (4) the tree severely contracted during the first wave of the COVID-19 outbreak (during the months of February and March 2020) and expanded slightly afterwards. Moreover, the results obtained from this study can be used for the development of financial stability policies and stock market regulations worldwide.

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Section: Literature Reviewmentioning

confidence: 86%

The Impact of COVID-19 on the Dynamic Topology and Network Flow of World Stock Markets

Memon

Yao

2021

Journal of Open Innovation: Technology, Market, and Complexity

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“…Whereas, when considering these two factors, the market is only partially integrated. The stock market also becomes more integrated when there is a strong economic crisis or market shock in leading developed countries (Setiawan, 2011).…”

Section: Introductionmentioning

confidence: 99%

Integration of Southeast Asian Stock Markets With the World Stock Market: Application of International Asset Pricing Model

Maksar

Setiawan

Hakim

2022

jimat

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This study aims to determine the integration level of Southeast Asian stock market with the world stock market using an international capital asset pricing model. The countries that were sampled in this study were Indonesia, Malaysia, Philippines, Singapore and Thailand. The sample period starts from January 2000 until August 2016. This study uses an partially-segmented international capital asset pricing model by including the assumption of residual that were correlated between asset pricing equations. Because of this assumption, the seemingly unrelated regression (SUR) estimation method is more appropriately compared to the ordinary least square (OLS) method. The results of this study indicate that the integration level of Southeast Asian stock market varies. The Singapore and Thailand stock markets are fully integrated with the world stock market, the Indonesian and Malaysian stock markets are partially integrated with the world stock market, while the Philippine stock market is segmented with the world stock market. This finding shows the difference in the effectiveness of the stock market liberalization process in Southeast Asia

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“…PAJEK, meanwhile, was used to describe the network visually. The use of the software referred to the research of Setiawan (2011), that has used MST technique to examine the presence of stock market integration and has used the software to find the least total path distance that connects all the nodes representing stock markets indexes.…”

mentioning

confidence: 99%

An Alternative to Optimize the Indonesian’s Airport Network Design: An Application of Minimum Spanning Tree (MST) Technique

Lusiantoro

Ciptono²

2012

GADJAH MADA INT. J. BUS.

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Using minimum spanning tree technique (MST), this exploratory research was done to optimize the interrelation and hierarchical network design of Indonesian’s airports. This research also identifies the position of the Indonesian’s airports regionally based on the ASEAN Open Sky Policy 2015. The secondary data containing distance between airports (both in Indonesia and in ASEAN), flight frequency, and correlation of Gross Domestic Regional Product (GDRP) for each region in Indonesia are used as inputs to form MST networks. The result analysis is done by comparing the MST networks with the existing network in Indonesia. This research found that the existing airport network in Indonesia does not depict the optimal network connecting all airports with the shortest distance and maximizing the correlation of regional economic potential in the country. This research then suggests the optimal networks and identifies the airports and regions as hubs and spokes formed by the networks. Lastly, this research indicates that the Indonesian airports have no strategic position in the ASEAN Open Sky network, but they have an opportunity to get strategic positions if 33 airports in 33 regions in Indonesia are included in the network.

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On the Dynamic of Stock Market Integration: A Minimum Spanning Tree Analysis

Cited by 5 publications

References 35 publications

The Impact of COVID-19 on the Dynamic Topology and Network Flow of World Stock Markets

The Impact of COVID-19 on the Dynamic Topology and Network Flow of World Stock Markets

Integration of Southeast Asian Stock Markets With the World Stock Market: Application of International Asset Pricing Model

An Alternative to Optimize the Indonesian’s Airport Network Design: An Application of Minimum Spanning Tree (MST) Technique

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