Networks of log returns and volatilities of international stock market indexes

In this paper, we build dynamic networks based on correlation and transfer entropy (TE), using both the log returns and the volatilities (here associated with absolute values) of ninety-seven stock market indexes from various parts of the world between 2000 and 2016. The topologies of these networks are analyzed using node strength for networks based on correlation, and in and out node strengths for networks based on TE. Our results indicate that node strengths peak in times of crisis, such as the global financial crisis of 2008 and the European sovereign debt crisis, as well as in the years after 2010. Our results for volatilities also indicate strong relations between the indexes of Arab countries. ;