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Dependency Relations among International Stock Market Indices

Citations

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Cited by:

  1. 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.
  2. Weibo Li & Wei Liu & Lei Wu & Xue Guo, 2021. "Risk spillover networks in financial system based on information theory," PLOS ONE, Public Library of Science, vol. 16(6), pages 1-20, June.
  3. Theo Diamandis & Yonathan Murin & Andrea Goldsmith, 2018. "Ranking Causal Influence of Financial Markets via Directed Information Graphs," Papers 1801.06896, arXiv.org.
  4. Xue Guo & Hu Zhang & Tianhai Tian, 2019. "Multi-Likelihood Methods for Developing Stock Relationship Networks Using Financial Big Data," Papers 1906.08088, arXiv.org.
  5. Haiming Long & Ji Zhang & Nengyu Tang, 2017. "Does network topology influence systemic risk contribution? A perspective from the industry indices in Chinese stock market," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-19, July.
  6. Xiurong Chen & Yixiang Tian & Rubo Zhao, 2017. "Study of the cross-market effects of Brexit based on the improved symbolic transfer entropy GARCH model—An empirical analysis of stock–bond correlations," PLOS ONE, Public Library of Science, vol. 12(8), pages 1-14, August.
  7. Pang, Raymond Ka-Kay & Granados, Oscar M. & Chhajer, Harsh & Legara, Erika Fille T., 2021. "An analysis of network filtering methods to sovereign bond yields during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  8. Arfaoui, Nadia & Naeem, Muhammad Abubakr & Boubaker, Sabri & Mirza, Nawazish & Karim, Sitara, 2023. "Interdependence of clean energy and green markets with cryptocurrencies," Energy Economics, Elsevier, vol. 120(C).
  9. Zhao, Xiaojun & Shang, Pengjian & Lin, Aijing, 2017. "Transfer mutual information: A new method for measuring information transfer to the interactions of time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 517-526.
  10. Nie, Chun-Xiao, 2020. "Correlation dynamics in the cryptocurrency market based on dimensionality reduction analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
  11. Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Uddin, Gazi Salah, 2017. "Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets," European Journal of Operational Research, Elsevier, vol. 256(3), pages 945-961.
  12. Kozelský, Robert & Maitah, Mansoor & Cvik, Eva Daniela & Toth, Daniel & Flegel, Emil & Sindi, Ali & Zelenka, Ondřej, 2024. "Assessing the Effect of Monetary Policy on the Competitiveness of Agricultural Enterprises," Research on World Agricultural Economy, Nan Yang Academy of Sciences Pte Ltd (NASS), vol. 5(2), June.
  13. Chuang, Hongwei, 2016. "Brokers’ financial network and stock return," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 172-183.
  14. He, Chengying & Huang, Ke & Lin, Jianwu & Wang, Tianqi & Zhang, Zuominyang, 2023. "Explain systemic risk of commodity futures market by dynamic network," International Review of Financial Analysis, Elsevier, vol. 88(C).
  15. Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Dependence dynamics of US REITs," International Review of Financial Analysis, Elsevier, vol. 81(C).
  16. Volta, Vittoria & Aste, Tomaso, 2022. "Causal coupling between European and UK markets triggered by announcements of monetary policy decisions," LSE Research Online Documents on Economics 114947, London School of Economics and Political Science, LSE Library.
  17. Vilém Novák & Soheyla Mirshahi, 2021. "On the Similarity and Dependence of Time Series," Mathematics, MDPI, vol. 9(5), pages 1-14, March.
  18. Lu, Jingen & Chen, Xiaohong & Liu, Xiaoxing, 2018. "Stock market information flow: Explanations from market status and information-related behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 837-848.
  19. Rehman, Mobeen Ur & Ahmad, Nasir & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2022. "Dependence dynamics of stock markets during COVID-19," Emerging Markets Review, Elsevier, vol. 51(PB).
  20. Simona Moagăr-Poladian & Dorina Clichici & Cristian-Valeriu Stanciu, 2019. "The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe," Sustainability, MDPI, vol. 11(14), pages 1-22, July.
  21. Shahzad, Syed Jawad Hussain & Naifar, Nader, 2022. "Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic?," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  22. Chong, Oiping & Bany- Ariffin, A.N. & Matemilola, Bolaji Tunde & McGowan, C.B., 2020. "Can China’s cross-sectional dispersion of stock returns influence the herding behaviour of traders in other local markets and China’s trading partners?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
  23. Ömer Akgüller & Mehmet Ali Balcı & Larissa M. Batrancea & Lucian Gaban, 2023. "Path-Based Visibility Graph Kernel and Application for the Borsa Istanbul Stock Network," Mathematics, MDPI, vol. 11(6), pages 1-25, March.
  24. Dimpfl, Thomas & Peter, Franziska J., 2019. "Group transfer entropy with an application to cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 543-551.
  25. Adriano Beluco & Denise L. Bandeira & Alexandre Beluco, 2017. "Modeling NYSE Composite US 100 Index with a Hybrid SOM and MLP-BP Neural Model," JRFM, MDPI, vol. 10(1), pages 1-13, February.
  26. Yonatan Berman & Eshel Ben-Jacob & Xin Zhang & Yoash Shapira, 2016. "Analyzing the Long Term Cohesive Effect of Sector Specific Driving Forces," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-16, March.
  27. Wu, Fei & Zhao, Wan-Li & Ji, Qiang & Zhang, Dayong, 2020. "Dependency, centrality and dynamic networks for international commodity futures prices," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 118-132.
  28. Biplab Bhattacharjee & Muhammad Shafi & Animesh Acharjee, 2016. "Investigating the Influence Relationship Models for Stocks in Indian Equity Market: A Weighted Network Modelling Study," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-33, November.
  29. Dayong Zhang & Qiang Ji & Wan-Li Zhao & Nicholas J Horsewood, 2021. "Regional housing price dependency in the UK: A dynamic network approach," Urban Studies, Urban Studies Journal Limited, vol. 58(5), pages 1014-1031, April.
  30. Arnab Bhattacharjee & Sudipto Roy, 2019. "Abnormal Returns or Mismeasured Risk? Network Effects and Risk Spillover in Stock Returns," JRFM, MDPI, vol. 12(2), pages 1-13, March.
  31. Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Ahmad, Nasir & Vo, Xuan Vinh, 2021. "Dependence among metals and mining companies of the US and Europe during normal and crises periods," Resources Policy, Elsevier, vol. 73(C).
  32. Xue Guo & Hu Zhang & Tianhai Tian, 2018. "Development of stock correlation networks using mutual information and financial big data," PLOS ONE, Public Library of Science, vol. 13(4), pages 1-16, April.
  33. Guo, Xue & Li, Weibo & Zhang, Hu & Tian, Tianhai, 2022. "Multi-likelihood methods for developing relationship networks using stock market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 585(C).
  34. Naeem, Muhammad Abubakr & Gul, Raazia & Farid, Saqib & Karim, Sitara & Lucey, Brian M., 2023. "Assessing linkages between alternative energy markets and cryptocurrencies," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 513-529.
  35. Dimpfl, Thomas & Peter, Franziska J., 2018. "Analyzing volatility transmission using group transfer entropy," Energy Economics, Elsevier, vol. 75(C), pages 368-376.
  36. Yong Kheng Goh & Haslifah M Hasim & Chris G Antonopoulos, 2018. "Inference of financial networks using the normalised mutual information rate," PLOS ONE, Public Library of Science, vol. 13(2), pages 1-21, February.
  37. Naeem, Muhammad Abubakr & Chatziantoniou, Ioannis & Gabauer, David & Karim, Sitara, 2024. "Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach," International Review of Financial Analysis, Elsevier, vol. 91(C).
  38. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa & Stosic, Tatijana, 2016. "Correlations of multiscale entropy in the FX market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 52-61.
  39. Zhou, Xiaoguang & Cui, Yadi & Wu, Shihwei & Wang, Weiqing, 2019. "The influence of cultural distance on the volatility of the international stock market," Economic Modelling, Elsevier, vol. 77(C), pages 289-300.
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