What Impacts Foreign Capital Flows to China's Stock Markets? Evidence from Financial Risk Spillover Networks

Xu, Hao; Li, Songsong

doi:10.2139/ssrn.4118209

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2024

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“…Recent research on the interconnection between financial markets through network analysis has been carried out by Xu and Li (2023) and You et al (2024). The first examines the relationship between participation in international trade and the connectivity of stock markets in eleven major economies, using the input-output network approach and the Diebold and Yilmaz Connectivity Index.…”

Section: Literature Reviewmentioning

confidence: 99%

Network Analysis of the Mexican Stock Market

Lorenzo-Valdes

2024

Investigación Económica

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This study investigates the dynamics of equity networks in Mexico from 2018 to 2023, focusing on the impact of the COVID-19 pandemic. Methodological steps include calculating stock returns, estimating annual GARCH models, constructing lower-tailed dependency matrices, and forming networks based on these matrices. The characteristics of the resulting networks are described. In addition, 10,000 Erdos-Reyni simulations are performed to estimate GNAR models up to order two, selecting the best estimates according to AIC, BIC, and llk criteria. The predictive performance of GNAR models compared to univariate AR and VAR models is evaluated. These stages help to better understand the interconnection between Mexican financial markets, offering valuable insights for risk management and decision-making.

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Section: Literature Reviewmentioning

confidence: 99%

Network Analysis of the Mexican Stock Market

Lorenzo-Valdes

2024

Investigación Económica

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What Impacts Foreign Capital Flows to China's Stock Markets? Evidence from Financial Risk Spillover Networks

Cited by 1 publication

References 16 publications

Network Analysis of the Mexican Stock Market

Network Analysis of the Mexican Stock Market

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