Multiscale and partial correlation networks analysis of risk connectedness in global equity markets
Author
Abstract
Suggested Citation
DOI: 10.1016/j.physa.2021.125911
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining, 2016.
"TENET: Tail-Event driven NETwork risk,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 499-513.
- Härdle, Wolfgang Karl & Sirotko-Sibirskaya, Natalia & Wang, Weining, 2014. "TENET: Tail-Event driven NETwork risk," SFB 649 Discussion Papers 2014-066, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Thomas Conlon & John Cotter, 2012.
"An empirical analysis of dynamic multiscale hedging using wavelet decomposition,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(3), pages 272-299, March.
- Thomas Conlon & John Cotter, 2011. "An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition," Papers 1103.4943, arXiv.org.
- Thomas Conlon & John Cotter, 2011. "An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition," Working Papers 201104, Geary Institute, University College Dublin.
- Diebold, Francis X. & Yılmaz, Kamil, 2014.
"On the network topology of variance decompositions: Measuring the connectedness of financial firms,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Koç University-TUSIAD Economic Research Forum Working Papers 1124, Koc University-TUSIAD Economic Research Forum.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Working Papers 11-45, Federal Reserve Bank of Philadelphia.
- Francis X. Diebold & Kamil Yılmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," PIER Working Paper Archive 11-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," NBER Working Papers 17490, National Bureau of Economic Research, Inc.
- Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
- Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2014. "A dynamic analysis on global natural gas trade network," Applied Energy, Elsevier, vol. 132(C), pages 23-33.
- Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012.
"Econometric measures of connectedness and systemic risk in the finance and insurance sectors,"
Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers 2011_21, Department of Economics, University of Venice "Ca' Foscari".
- Li, Jingyu & Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian, 2019. "Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
- Feng, Zhen-Hua & Wei, Yi-Ming & Wang, Kai, 2012.
"Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS,"
Applied Energy, Elsevier, vol. 99(C), pages 97-108.
- Zhen-Hua Feng & Yi-Ming Wei & Kai Wang, 2011. "Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS," CEEP-BIT Working Papers 19, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
- Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2015.
"Volatility spillovers in EMU sovereign bond markets,"
International Review of Economics & Finance, Elsevier, vol. 39(C), pages 337-352.
- Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "Volatility spillovers in EMU sovereign bond markets," Working Papers 15-03, Asociación Española de Economía y Finanzas Internacionales.
- Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "Volatility spillovers in EMU sovereign bond markets," Working Papers del Instituto Complutense de Estudios Internacionales 1504, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
- David Matesanz & Guillermo Ortega, 2014.
"Network analysis of exchange data: interdependence drives crisis contagion,"
Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 1835-1851, July.
- Matesanz, David & Ortega, Guillermo J., 2008. "Network analysis of exchange data: Interdependence drives crisis contagion," MPRA Paper 7720, University Library of Munich, Germany.
- T. Conlon & H. J. Ruskin & M. Crane, 2009.
"Multiscaled Cross-Correlation Dynamics In Financial Time-Series,"
Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 12(04n05), pages 439-454.
- Thomas Conlon & Heather J. Ruskin & Martin Crane, 2010. "Multiscaled Cross-Correlation Dynamics in Financial Time-Series," Papers 1001.0497, arXiv.org.
- Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
- Conlon, T. & Ruskin, H.J. & Crane, M., 2009.
"Cross-correlation dynamics in financial time series,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(5), pages 705-714.
- Thomas Conlon & Heather J. Ruskin & Martin Crane, 2010. "Cross-Correlation Dynamics in Financial Time Series," Papers 1002.0321, arXiv.org.
- Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon, 2001. "Scaling properties of foreign exchange volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(1), pages 249-266.
- Baumöhl, Eduard & Shahzad, Syed Jawad Hussain, 2019.
"Quantile coherency networks of international stock markets,"
Finance Research Letters, Elsevier, vol. 31(C), pages 119-129.
- Baumöhl, Eduard & Shahzad, Syed Jawad Hussain, 2019. "Quantile coherency networks of international stock markets," EconStor Preprints 194568, ZBW - Leibniz Information Centre for Economics.
- Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016.
"Systemic risk and the macroeconomy: An empirical evaluation,"
Journal of Financial Economics, Elsevier, vol. 119(3), pages 457-471.
- Stefano Giglio & Bryan T. Kelly & Seth Pruitt, 2015. "Systemic Risk and the Macroeconomy: An Empirical Evaluation," NBER Working Papers 20963, National Bureau of Economic Research, Inc.
- Shahzad, Syed Jawad Hussain & Hernandez, Jose Areola & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Zakaria, Muhammad, 2018.
"A global network topology of stock markets: Transmitters and receivers of spillover effects,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 2136-2153.
- Syed Jawad Hussain Shahzad & Jose Areola Hernandez & Mobeen Ur Rehman & Khamis Hamed Al-Yahyaee & Muhammad Zakaria, 2018. "A global network topology of stock markets: Transmitters and receivers of spillover effects," Post-Print hal-01994762, HAL.
- Gang-Jin Wang & Chi Xie & H. Eugene Stanley, 2018. "Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 607-635, March.
- Gang-Jin Wang & Chi Xie & Shou Chen, 2017. "Multiscale correlation networks analysis of the US stock market: a wavelet analysis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 561-594, October.
- repec:zbw:bofrdp:2015_007 is not listed on IDEAS
- Juan Brida & Wiston Risso, 2010. "Dynamics and Structure of the 30 Largest North American Companies," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 85-99, January.
- Xu, Qifa & Li, Mengting & Jiang, Cuixia & He, Yaoyao, 2019. "Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
- Giuseppe Buccheri & Stefano Marmi & Rosario N. Mantegna, 2013. "Evolution of correlation structure of industrial indices of US equity markets," Papers 1306.4769, arXiv.org.
- Coelho, Ricardo & Gilmore, Claire G. & Lucey, Brian & Richmond, Peter & Hutzler, Stefan, 2007.
"The evolution of interdependence in world equity markets—Evidence from minimum spanning trees,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 455-466.
- Ricardo Coehlo & Claire Gilmore & Brian M. Lucey, 2006. "The Evolution of Interdependence in World Equity Markets - Evidence from Minimum Spanning Trees," The Institute for International Integration Studies Discussion Paper Series iiisdp142, IIIS.
- Aste, T. & Di Matteo, T. & Hyde, S.T., 2005. "Complex networks on hyperbolic surfaces," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(1), pages 20-26.
- Dror Y Kenett & Michele Tumminello & Asaf Madi & Gitit Gur-Gershgoren & Rosario N Mantegna & Eshel Ben-Jacob, 2010. "Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market," PLOS ONE, Public Library of Science, vol. 5(12), pages 1-14, December.
- Liu, Xueyong & An, Haizhong & Li, Huajiao & Chen, Zhihua & Feng, Sida & Wen, Shaobo, 2017. "Features of spillover networks in international financial markets: Evidence from the G20 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 265-278.
- Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2017. "The relationship between regional natural gas markets and crude oil markets from a multi-scale nonlinear Granger causality perspective," Energy Economics, Elsevier, vol. 67(C), pages 98-110.
- Kim, Sangbae & In, Francis, 2006. "A note on the relationship between industry returns and inflation through a multiscaling approach," Finance Research Letters, Elsevier, vol. 3(1), pages 73-78, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Wang, Qianlin & Han, Jiaqi & Chen, Feng & Hu, Su & Yun, Cheng & Dou, Zhan & Yan, Tingjun & Yang, Guoan, 2024. "Modeling risk characterization networks for chemical processes based on multi-variate data," Energy, Elsevier, vol. 293(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Gang-Jin Wang & Chi Xie & Shou Chen, 2017. "Multiscale correlation networks analysis of the US stock market: a wavelet analysis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 561-594, October.
- Ren, Yinghua & Zhao, Wanru & You, Wanhai & Zhu, Huiming, 2022. "Multiscale features of extreme risk spillover networks among global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
- Chen, Yan & Wang, Gang-Jin & Zhu, You & Xie, Chi & Uddin, Gazi Salah, 2023. "Quantile connectedness and the determinants between FinTech and traditional financial institutions: Evidence from China," Global Finance Journal, Elsevier, vol. 58(C).
- Wang, Gang-Jin & Chen, Yang-Yang & Si, Hui-Bin & Xie, Chi & Chevallier, Julien, 2021.
"Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions,"
International Review of Economics & Finance, Elsevier, vol. 73(C), pages 325-347.
- Gang-Jin Wang & Yang-Yang Chen & Hui-Bin Si & Chi Xie & Julien Chevallier, 2021. "Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions," Post-Print halshs-04250264, HAL.
- Nie, Chun-Xiao & Song, Fu-Tie, 2019. "Global Rényi index of the distance matrix," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 902-915.
- Esmalifalak, Hamidreza, 2022. "Euclidean (dis)similarity in financial network analysis," Global Finance Journal, Elsevier, vol. 53(C).
- Addi, Abdelhamid & Bouoiyour, Jamal, 2023. "Interconnectedness and extreme risk: Evidence from dual banking systems," Economic Modelling, Elsevier, vol. 120(C).
- Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Yarovaya, Larisa & Ali, Shoaib, 2023. "Tail-event driven NETwork dependence in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
- Chen, Yan & Mo, Dongxu & Xu, Zezhou, 2022. "A study of interconnections and contagion among Chinese financial institutions using a ΔCoV aR network," Finance Research Letters, Elsevier, vol. 45(C).
- Deev, Oleg & Lyócsa, Štefan, 2020. "Connectedness of financial institutions in Europe: A network approach across quantiles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
- Zhang, Weiping & Zhuang, Xintian & Lu, Yang, 2020. "Spatial spillover effects and risk contagion around G20 stock markets based on volatility network," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Foglia, Matteo & Angelini, Eliana, 2020. "From me to you: Measuring connectedness between Eurozone financial institutions," Research in International Business and Finance, Elsevier, vol. 54(C).
- Laleh Tafakori & Armin Pourkhanali & Riccardo Rastelli, 2022. "Measuring systemic risk and contagion in the European financial network," Empirical Economics, Springer, vol. 63(1), pages 345-389, July.
- Zhang, Weiping & Zhuang, Xintian & Wang, Jian & Lu, Yang, 2020. "Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Yong Tang & Jason Jie Xiong & Zi-Yang Jia & Yi-Cheng Zhang, 2018. "Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets," Complexity, Hindawi, vol. 2018, pages 1-31, November.
- Qian, Biyu & Wang, Gang-Jin & Feng, Yusen & Xie, Chi, 2022. "Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
- Gang-Jin Wang & Chi Xie & H. Eugene Stanley, 2018. "Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 607-635, March.
- Chen, Bin-xia & Sun, Yan-lin, 2024. "Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
- Erick Treviño Aguilar, 2020. "The interdependency structure in the Mexican stock exchange: A network approach," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-31, October.
More about this item
Keywords
Global equity markets; Risk connectedness; Multiscale and partial correlation networks; Wavelet analysis; Time–frequency dynamic;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:573:y:2021:i:c:s0378437121001837. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.