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ABSTRACT We use a novel approach based on a combination of network and cointegration analysis to examine linkages between stock markets across market cycles. Our results show that long-run linkages… Click to show full abstract
ABSTRACT We use a novel approach based on a combination of network and cointegration analysis to examine linkages between stock markets across market cycles. Our results show that long-run linkages are likely to be global rather than regional and that market turbulence increases linkages. However, we find no widespread common stochastic trends between markets and neither are we able to draw a conclusion that major financial markets display influences network linkages.
Keywords:
stock markets;
networks stock;
stock;
cointegration networks
Journal Title: Applied Economics Letters
Year Published: 2018
Link to full text (if available)
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Journal Title: Applied Economics Letters
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!