Mutual Information Based Analysis for the Distribution of Financial Contagion in Stock Markets
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-10-25
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
This paper applies mutual information to research the distribution of financial contagion in global stock markets during the US subprime crisis.
First, we symbolize the daily logarithmic stock returns based on their quantiles.
Then, the mutual information of the stock indices is calculated and the block bootstrap approach is adopted to test the financial contagion.
We analyze not only the contagion distribution during the entire crisis period but also its evolution over different stages by using the sliding window method.
The empirical results prove the widespread existence of financial contagion and show that markets impacted by contagion tend to cluster geographically.
The distribution of the contagion strength is positively skewed and leptokurtic.
The average contagion strength is low at the beginning and then witnesses an uptrend.
It has larger values in the middle stage and declines in the late phase of the crisis.
Meanwhile, the cross-regional contagion between Europe and America is stronger than that between either America and Asia or Europe and Asia.
Europe is found to be the region most deeply impacted by the contagion, whereas Asia is the least affected.
American Psychological Association (APA)
Wang, Xudong& Hui, Xiao-Feng. 2017. Mutual Information Based Analysis for the Distribution of Financial Contagion in Stock Markets. Discrete Dynamics in Nature and Society،Vol. 2017, no. 2017, pp.1-13.
https://search.emarefa.net/detail/BIM-1151297
Modern Language Association (MLA)
Wang, Xudong& Hui, Xiao-Feng. Mutual Information Based Analysis for the Distribution of Financial Contagion in Stock Markets. Discrete Dynamics in Nature and Society No. 2017 (2017), pp.1-13.
https://search.emarefa.net/detail/BIM-1151297
American Medical Association (AMA)
Wang, Xudong& Hui, Xiao-Feng. Mutual Information Based Analysis for the Distribution of Financial Contagion in Stock Markets. Discrete Dynamics in Nature and Society. 2017. Vol. 2017, no. 2017, pp.1-13.
https://search.emarefa.net/detail/BIM-1151297
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1151297