Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality Networks
المؤلفون المشاركون
المصدر
Discrete Dynamics in Nature and Society
العدد
المجلد 2018، العدد 2018 (31 ديسمبر/كانون الأول 2018)، ص ص. 1-13، 13ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2018-08-07
دولة النشر
مصر
عدد الصفحات
13
التخصصات الرئيسية
الملخص EN
A total of 156 Granger causal networks of stock markets are constructed by using the Granger causality test and time series sliding window based on stock index data of 34 major stock markets in the world from 2004 to 2017.
The topological structures and evolution characteristics of the Granger causal networks are analyzed from the perspective of complex network theory.
Empirical results demonstrate that the network topology has a significant difference during the global financial crisis and other periods.
The causal relationships among different global stock markets exhibit a jump growth when each major crisis occurs.
The contagion path is also short.
A causal relationship between any two stock markets can usually be established with one stock market on average, not by using more than five stock markets.
For risk contagion, the American stock markets exerted the largest influence in 12 years, followed by the European stock markets.
Stock markets with high intermediate contagion ability play an important role in systemic risk contagion.
Despite the crucial markets in Europe and America (e.g., USA, Brazil, and Mexico), stock markets with weak network correlation and strong media ability (e.g., the markets of Japan, Korea, Australia, and New Zealand) play a critical role in risk contagion.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Zheng, Qiuhong& Song, Liangrong. 2018. Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality Networks. Discrete Dynamics in Nature and Society،Vol. 2018, no. 2018, pp.1-13.
https://search.emarefa.net/detail/BIM-1152927
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Zheng, Qiuhong& Song, Liangrong. Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality Networks. Discrete Dynamics in Nature and Society No. 2018 (2018), pp.1-13.
https://search.emarefa.net/detail/BIM-1152927
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Zheng, Qiuhong& Song, Liangrong. Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality Networks. Discrete Dynamics in Nature and Society. 2018. Vol. 2018, no. 2018, pp.1-13.
https://search.emarefa.net/detail/BIM-1152927
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1152927
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر