Correlation and network topologies in global and local stock indices

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

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

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.
Original languageEnglish
JournalPhysics Letters A
Volume378
Issue number34
Pages (from-to)2482-2489
ISSN0375-9601
DOIs
Publication statusPublished - 2014

Keywords

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

Cite this

Nobi, A. ; Lee, S. ; Kim, D. H. ; Lee, J. W. / Correlation and network topologies in global and local stock indices. In: Physics Letters A. 2014 ; Vol. 378, No. 34. pp. 2482-2489.
@article{2f5dfd919fa34e68b1e4dc1d133ec384,
title = "Correlation and network topologies in global and local stock indices",
abstract = "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.",
keywords = "FINANCIAL-MARKETS CROSS-CORRELATIONS CRISIS FLUCTUATIONS VOLATILITY INFORMATION EXCHANGE BEHAVIOR MODEL",
author = "A. Nobi and S. Lee and Kim, {D. H.} and Lee, {J. W.}",
note = "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",
year = "2014",
doi = "10.1016/j.physleta.2014.07.009",
language = "English",
volume = "378",
pages = "2482--2489",
journal = "Physics Letters A",
issn = "0375-9601",
publisher = "Heinemann",
number = "34",

}

Correlation and network topologies in global and local stock indices. / Nobi, A.; Lee, S.; Kim, D. H.; Lee, J. W.

In: Physics Letters A, Vol. 378, No. 34, 2014, p. 2482-2489.

Research output: Contribution to journalJournal articleResearchpeer-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 -