Identification of information networks in stock markets
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2021.104217
Abstract: Abstract We introduce a novel method to identify information networks in stock markets, which explicitly accounts for the impact of public information on investor trading decisions. We show that public information has a clear effect… read more here.
Keywords: networks stock; information networks; stock markets; identification information ... See more keywords
Cointegration networks in stock markets
Sign Up to like & getrecommendations! Published in 2018 at "Applied Economics Letters"
DOI: 10.1080/13504851.2017.1355534
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… read more here.
Keywords: stock markets; networks stock; stock; cointegration networks ... See more keywords