Correlation and network topologies in global and local stock indices

A. Nobi, S. Lee, D. H. Kim, J. W. Lee

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Resumé

We examined how the correlation and network structure of the global indices and local Korean indices have changed during years 2000-2012. The average correlations of the global indices increased with time, while the local indices showed a decreasing trend except for drastic changes during the crises. A significant change in the network topologies was observed due to the financial crises in both markets. The Jaccard similarities identified the change in the market state due to a crisis in both markets. The dynamic change of the Jaccard index can be used as an indicator of systemic risk or precursors of the crisis. (C) 2014 Elsevier B.V. All rights reserved.
OriginalsprogEngelsk
TidsskriftPhysics Letters A
Vol/bind378
Udgave nummer34
Sider (fra-til)2482-2489
ISSN0375-9601
DOI
StatusUdgivet - 2014

Citer dette

Nobi, A. ; Lee, S. ; Kim, D. H. ; Lee, J. W. / Correlation and network topologies in global and local stock indices. I: Physics Letters A. 2014 ; Bind 378, Nr. 34. s. 2482-2489.
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Correlation and network topologies in global and local stock indices. / Nobi, A.; Lee, S.; Kim, D. H.; Lee, J. W.

I: Physics Letters A, Bind 378, Nr. 34, 2014, s. 2482-2489.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

TY - JOUR

T1 - Correlation and network topologies in global and local stock indices

AU - Nobi, A.

AU - Lee, S.

AU - Kim, D. H.

AU - Lee, J. W.

N1 - ISI Document Delivery No.: AN0WM Times Cited: 0 Cited Reference Count: 44 Nobi, Ashadun Lee, Sungmin Kim, Doo Hwan Lee, Jae Woo Science and Technology Policy Institute (STEPI) This study was supported by the research fund of the Science and Technology Policy Institute (STEPI). 0 ELSEVIER SCIENCE BV AMSTERDAM PHYS LETT A

PY - 2014

Y1 - 2014

N2 - We examined how the correlation and network structure of the global indices and local Korean indices have changed during years 2000-2012. The average correlations of the global indices increased with time, while the local indices showed a decreasing trend except for drastic changes during the crises. A significant change in the network topologies was observed due to the financial crises in both markets. The Jaccard similarities identified the change in the market state due to a crisis in both markets. The dynamic change of the Jaccard index can be used as an indicator of systemic risk or precursors of the crisis. (C) 2014 Elsevier B.V. All rights reserved.

AB - We examined how the correlation and network structure of the global indices and local Korean indices have changed during years 2000-2012. The average correlations of the global indices increased with time, while the local indices showed a decreasing trend except for drastic changes during the crises. A significant change in the network topologies was observed due to the financial crises in both markets. The Jaccard similarities identified the change in the market state due to a crisis in both markets. The dynamic change of the Jaccard index can be used as an indicator of systemic risk or precursors of the crisis. (C) 2014 Elsevier B.V. All rights reserved.

KW - FINANCIAL-MARKETS CROSS-CORRELATIONS CRISIS FLUCTUATIONS VOLATILITY INFORMATION EXCHANGE BEHAVIOR MODEL

U2 - 10.1016/j.physleta.2014.07.009

DO - 10.1016/j.physleta.2014.07.009

M3 - Journal article

VL - 378

SP - 2482

EP - 2489

JO - Physics Letters A

JF - Physics Letters A

SN - 0375-9601

IS - 34

ER -