scholarly journals Dynamics of the Global Stock Market Networks Generated by DCCA Methodology

2020 ◽  
Vol 10 (6) ◽  
pp. 2171
Author(s):  
Ki-Hong Shin ◽  
Gyuchang Lim ◽  
Seungsik Min
Keyword(s):  
Financial Crisis ◽  
Correlation Analysis ◽  
Stock Market ◽  
Stock Price ◽  
Cross Correlation ◽  
Global Financial Crisis ◽  
Average Degree ◽  
Clustering Coefficient ◽  
Bubble Collapse ◽  
Cross Correlation Analysis

A group of stock markets can be treated as a complex system. We tried to find the financial market crisis by constructing a global 24 stock market network while using detrended cross-correlation analysis. The community structures by the Girvan-Newman method are observed and other network properties, such as the average degree, clustering coefficient, efficiency, and modularity, are quantified. The criterion of correlation between any two markets on the detrended cross-correlation analysis was considered to be 0.7. We used the return (rt) and volatility (|rt|) time series for the periods of 1, 4, 10, and 20-year of composite stock price indices during 1997–2016. Europe (France, Germany, Netherland, UK), USA (USA1, USA2, USA3, USA4) and Oceania (Australia1, Australia2) have been confirmed to make a solid community. This approach also detected the signal of financial crisis, such as Asian liquidity crisis in 1997, world-wide dot-com bubble collapse in 2001, the global financial crisis triggered by the USA in 2008, European sovereign debt crisis in 2010, and the Chinese stock price plunge in 2015 by capturing the local maxima of average degree and efficiency.

The more connected, the better? Impact of connectedness on volatility and price discovery in the Korean financial sector

2018 ◽  
Vol 44 (1) ◽  
pp. 46-73 ◽  
Author(s):  
DeokJong Jeong ◽  
Sunyoung Park
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Institutions ◽  
Market Microstructure ◽  
Stock Price ◽  
Price Discovery ◽  
Global Financial Crisis ◽  
Financial Sector ◽  
Asian Crisis ◽  
Content Type

Purpose The purpose of this paper is to empirically analyze the effect of the increasing connectedness among financial institutions in the Korean financial market, as it affects the market microstructure in the stock market. Thus this work, first, analyzes the trend and characteristics of connectedness in the Korean financial sector. This work then demonstrates the impacts of connectedness on volatility and price discovery in the stock market. Design/methodology/approach The entire Korean financial sector is analyzed from January 1990 to July 2015, including the periods of the 1997 Asian crisis and the 2007/2008 global financial crisis. This paper quantifies the connectedness between financial institutions using network methodology. Densely connectedness specifically refers to the cases in which a node experiences strong-lagged return spillover from and/or to itself. Findings Connectedness is established as an important determinant of stock price discovery. This paper illustrates that connectedness increases on significant economic events such as the 1997 Asian crisis and the 2007/2008 global financial crisis. Furthermore, this paper demonstrates that the more densely connected a particular financial institution, the more volatile the stock price and the less accurate the stock price quality. Research limitations/implications Understanding the financial system from a network perspective has been on the rise after the 2007/2008 global financial crisis. This work helps regulators and policy makers understand the full implications of introducing new policies that can more closely connect financial institutions. Originality/value This paper precisely captures financial institutions’ connectedness by including all types of financial institutions at the micro level. Additionally, this paper links connectedness to market microstructure in the stock market.

scholarly journals The use of a Detrended Cross-Correlation Analysis on returns from agricultural commodities in the subprime crisis

2021 ◽  
Vol 16 (03) ◽  
pp. 119-137
Author(s):  
Luiza Lonardoni Paulino Schiavon ◽  
Antônio Fernando Crepaldi
Keyword(s):  
Financial Crisis ◽  
Correlation Analysis ◽  
Detrended Fluctuation Analysis ◽  
Cross Correlation ◽  
Fluctuation Analysis ◽  
Subprime Crisis ◽  
Product Portfolio ◽  
Agricultural Commodities ◽  
Cross Correlation Analysis ◽  
Detrended Fluctuation

Purpose: To understand the dynamics of the agricultural commodities market and predict a possible economic crisis, in addition to helping agricultural producers balance their product portfolio, diversifying their goods and reducing risks. Theoretical framework: Prices of agricultural commodities have changed significantly since 2002; although had been an increase in demand, where weather problems negatively affected supply, resulting in price increases. With the global financial crisis of 2008, there was a reduction in international credit and an increase in the US dollar against the Brazilian Real. Design/Methodology/Approach: Detrended Cross-Correlation Analysis and Detrended Fluctuation Analysis methods were used to understand the behavior of the cross correlations of the price of five Brazilian agribusiness commodities (cotton, sugar, coffee, corn and soybeans) for the previous periods, during and after the subprime crisis. Findings: Both methods showed a significant change in the behavior of the series in the period of crisis, when compared to their temporal neighborhoods. Research, Practical & Social Implications: It was found that the crisis changed the structure of the correlation of the returns on the commodities analyzed. This change implies alterations to a possible product portfolio in order to minimize risks. Originality/Value: The long-term nonlinear correlation behavior was calculated and analyzed on the temporal series for the return on the main agricultural commodities in the period of the subprime crisis and its temporal neighborhoods were calculated and analyzed, allowing several changes to be found in the product correlation structure, due to the crisis process. Keywords: Subprime Financial Crisis; Agricultural Commodities; Detrended Fluctuation Analysis; Detrended Cross-Correlation Analysis.

scholarly journals Theq-dependent detrended cross-correlation analysis of stock market

2018 ◽  
Vol 2018 (2) ◽  
pp. 023402 ◽  
Author(s):  
Longfeng Zhao ◽  
Wei Li ◽  
Andrea Fenu ◽  
Boris Podobnik ◽  
Yougui Wang ◽  
...  
Keyword(s):  
Correlation Analysis ◽  
Stock Market ◽  
Cross Correlation ◽  
Cross Correlation Analysis
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