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Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks

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Cited by:

  1. Chun-Xiao Nie, 2021. "Studying the correlation structure based on market geometry," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(2), pages 411-441, April.
  2. 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.
  3. Wang, Yan & Wang, Yue & Li, Ming-Xia, 2019. "Regional characteristics of sports industry profitability: Evidence from China’s province level data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 946-955.
  4. Erick Trevi~no Aguilar, 2020. "The interdependency structure in the Mexican stock exchange: A network approach," Papers 2004.06676, arXiv.org.
  5. 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.
  6. Bhattacharjee, Biplab & Kumar, Rajiv & Senthilkumar, Arunachalam, 2022. "Unidirectional and bidirectional LSTM models for edge weight predictions in dynamic cross-market equity networks," International Review of Financial Analysis, Elsevier, vol. 84(C).
  7. Hongxing Yao & Yanyu Lu & Bilal Ahmed Memon, 2019. "Impact of US-China Trade War on the Network Topology Structure of Chinese Stock Market," Journal of Asian Business Strategy, Asian Economic and Social Society, vol. 9(2), pages 235-250, December.
  8. Wang, Gang-Jin & Wan, Li & Feng, Yusen & Xie, Chi & Uddin, Gazi Salah & Zhu, You, 2023. "Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
  9. 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.
  10. Chun-Xiao Nie & Fu-Tie Song, 2021. "Entropy of Graphs in Financial Markets," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1149-1166, April.
  11. Qifa Xu & Liukai Wang & Cuixia Jiang & Fu Jia & Lujie Chen, 2022. "Tail dependence network of new energy vehicle industry in mainland China," Annals of Operations Research, Springer, vol. 315(1), pages 565-590, August.
  12. Nie, Chun-Xiao, 2022. "Analysis of critical events in the correlation dynamics of cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 586(C).
  13. Wang, Ze & Gao, Xiangyun & Tang, Renwu & Liu, Xueyong & Sun, Qingru & Chen, Zhihua, 2019. "Identifying influential nodes based on fluctuation conduction network model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 355-369.
  14. Mardi Dungey & Moses Kangogo & Vladimir Volkov, 2022. "Dynamic effects of network exposure on equity markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 569-629, December.
  15. Kulkarni, Saumitra & Pharasi, Hirdesh K. & Vijayaraghavan, Sudharsan & Kumar, Sunil & Chakraborti, Anirban & Samal, Areejit, 2024. "Investigation of Indian stock markets using topological data analysis and geometry-inspired network measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 643(C).
  16. Li, Yan & Jiang, Xiong-Fei & Tian, Yue & Li, Sai-Ping & Zheng, Bo, 2019. "Portfolio optimization based on network topology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 671-681.
  17. Wang, Luo-Qing & Xu, Yong-Xiang, 2018. "Distribution of individual status in the invisibility similarity network of new social strata in Shanghai," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 426-434.
  18. Peng Yue & Qing Cai & Wanfeng Yan & Wei-Xing Zhou, 2020. "Information flow networks of Chinese stock market sectors," Papers 2004.08759, arXiv.org.
  19. Wen, Danyan & Ma, Chaoqun & Wang, Gang-Jin & Wang, Senzhang, 2018. "Investigating the features of pairs trading strategy: A network perspective on the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 903-918.
  20. Zhu, Xuzhen & Wang, Ruijie & Wang, Zexun & Chen, Xiaolong & Wang, Wei & Cai, Shimin, 2019. "Double-edged sword effect of edge overlap on asymmetrically interacting spreading dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 617-624.
  21. Sayantan Banerjee & Kousik Guhathakurta, 2019. "Change-point Analysis in Financial Networks," Papers 1911.05952, arXiv.org.
  22. 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).
  23. Gerson N. Cardoso & Geraldo E. Silva, 2024. "Electoral influences on the Brazilian B3 data correlation network," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 251-272, January.
  24. Artur F. Tomeczek & Tomasz M. Napiórkowski, 2024. "PageRank and Regression as a Two-Step Approach to Analysing a Network of Nasdaq Firms During a Recession: Insights from Minimum Spanning Tree Topology," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 3, pages 56-69.
  25. 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.
  26. Rosenkranz, Peter & Melchor, Monica, 2022. "Asia’s financial interconnectedness: Evolution, implications, and insights from past crises," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 685-707.
  27. Esmalifalak, Hamidreza, 2022. "Euclidean (dis)similarity in financial network analysis," Global Finance Journal, Elsevier, vol. 53(C).
  28. Baumöhl, Eduard & Shahzad, Syed Jawad Hussain, 2019. "Quantile coherency networks of international stock markets," Finance Research Letters, Elsevier, vol. 31(C), pages 119-129.
  29. Kangogo, Moses & Volkov, Vladimir, 2021. "Dynamic effects of network exposure on equity markets," Working Papers 2021-03, University of Tasmania, Tasmanian School of Business and Economics.
  30. Wu, Shan & Tong, Mu & Yang, Zhongyi & Zhang, Tianyi, 2021. "Interconnectedness, systemic risk, and the influencing factors: Some evidence from China’s financial institutions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 569(C).
  31. Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš, 2022. "YOLO trading: Riding with the herd during the GameStop episode," Finance Research Letters, Elsevier, vol. 46(PA).
  32. Siva R Venna & Satya Katragadda & Vijay Raghavan & Raju Gottumukkala, 2021. "River Stage Forecasting using Enhanced Partial Correlation Graph," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 35(12), pages 4111-4126, September.
  33. Chuangxia Huang & Xian Zhao & Renli Su & Xiaoguang Yang & Xin Yang, 2022. "Dynamic network topology and market performance: A case of the Chinese stock market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1962-1978, April.
  34. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
  35. Muzi Chen & Nan Li & Lifen Zheng & Difang Huang & Boyao Wu, 2024. "Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price," Papers 2403.19363, arXiv.org.
  36. 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).
  37. Mehmet Ali Balcı & Larissa M. Batrancea & Ömer Akgüller, 2022. "Network-Induced Soft Sets and Stock Market Applications," Mathematics, MDPI, vol. 10(21), pages 1-24, October.
  38. Xu, Yuhong & Zhao, Xinyao, 2024. "How does node centrality in a financial network affect asset price prediction?," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  39. Wei, Zhengyuan & He, Qingxia & Zhou, Qili & Wang, Ge, 2023. "Measuring dependence structure and extreme risk spillovers in stock markets: An APARCH-EVT-DMC approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 632(P1).
  40. Chen, Muzi & Li, Nan & Zheng, Lifen & Huang, Difang & Wu, Boyao, 2022. "Dynamic correlation of market connectivity, risk spillover and abnormal volatility in stock price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
  41. Lu, Shan & Zhao, Jichang & Wang, Huiwen & Ren, Ruoen, 2018. "Herding boosts too-connected-to-fail risk in stock market of China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 945-964.
  42. Francesca Mariani & Gloria Polinesi & Maria Cristina Recchioni, 2022. "A tail-revisited Markowitz mean-variance approach and a portfolio network centrality," Computational Management Science, Springer, vol. 19(3), pages 425-455, July.
  43. Bilal Ahmed Memon & Rabia Tahir, 2021. "Examining Network Structures and Dynamics of World Energy Companies in Stock Markets: A Complex Network Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 329-344.
  44. van Walbeek, Felix, 2022. "Investigating Market Behavior Correlations between Classified Tokens using the International Token Classification Framework," Junior Management Science (JUMS), Junior Management Science e. V., vol. 7(2), pages 524-542.
  45. Sindhuja Ranganathan & Mikko Kivelä & Juho Kanniainen, 2018. "Dynamics of investor spanning trees around dot-com bubble," PLOS ONE, Public Library of Science, vol. 13(6), pages 1-14, June.
  46. Ren, Yinghua & Zhao, Wanru & You, Wanhai & Zhai, Kaikai, 2021. "Multiscale and partial correlation networks analysis of risk connectedness in global equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
  47. 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).
  48. Xue Guo & Hu Zhang & Tianhai Tian, 2019. "Multi-Likelihood Methods for Developing Stock Relationship Networks Using Financial Big Data," Papers 1906.08088, arXiv.org.
  49. Chowdhury, Biplob & Dungey, Mardi & Kangogo, Moses & Sayeed, Mohammad Abu & Volkov, Vladimir, 2019. "The changing network of financial market linkages: The Asian experience," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 71-92.
  50. Wang, Gang-Jin & Jiang, Zhi-Qiang & Lin, Min & Xie, Chi & Stanley, H. Eugene, 2018. "Interconnectedness and systemic risk of China's financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 1-18.
  51. Xiurong Chen & Aimin Hao & Yali Li, 2020. "The impact of financial contagion on real economy-An empirical research based on combination of complex network technology and spatial econometrics model," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-20, March.
  52. 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).
  53. Wu, Fei & Zhang, Dayong & Zhang, Zhiwei, 2019. "Connectedness and risk spillovers in China’s stock market: A sectoral analysis," Economic Systems, Elsevier, vol. 43(3).
  54. Henao-Londono, Juan C. & Guhr, Thomas, 2022. "Foreign exchange markets: Price response and spread impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
  55. Hu, Yunchao & Lu, Guibin & Gao, Wenyu, 2022. "A study on China’s systemically important financial institutions based on multi-time scale causality networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
  56. Alexander Koch & Toan Luu Duc Huynh & Mei Wang, 2024. "News sentiment and international equity markets during BREXIT period: A textual and connectedness analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 5-34, January.
  57. Wang, Luo-Qing & Xu, Yong-Xiang, 2018. "Assessing the relevance of individual characteristics for the structure of similarity networks in new social strata in Shanghai," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 881-889.
  58. Wu, Tao & Sun, Xiaotong & Xu, Xin & Jia, Nanfei & Xuan, Siyuan, 2024. "New evidence of interdependence in forex markets: A connection of connection analysis," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  59. Duc Thi Luu, 2022. "Portfolio Correlations in the Bank-Firm Credit Market of Japan," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 529-569, August.
  60. Xi, Xian & Gao, Xiangyun & Zhou, Jinsheng & Zheng, Huiling & Ding, Jiazheng & Si, Jingjian, 2021. "Uncovering the impacts of structural similarity of financial indicators on stock returns at different quantile levels," International Review of Financial Analysis, Elsevier, vol. 76(C).
  61. Tzung Hsuen Khoo & Dharini Pathmanathan & Sophie Dabo-Niang, 2023. "Spatial Autocorrelation of Global Stock Exchanges Using Functional Areal Spatial Principal Component Analysis," Mathematics, MDPI, vol. 11(3), pages 1-24, January.
  62. 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).
  63. Wang, Minggang & Xu, Hua & Tian, Lixin & Eugene Stanley, H., 2018. "Degree distributions and motif profiles of limited penetrable horizontal visibility graphs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 620-634.
  64. Jingying Yang & Guishu Bai & Mei Yan, 2023. "Minimum Residual Sum of Squares Estimation Method for High-Dimensional Partial Correlation Coefficient," Mathematics, MDPI, vol. 11(20), pages 1-22, October.
  65. Millington, Tristan & Niranjan, Mahesan, 2021. "Stability and similarity in financial networks—How do they change in times of turbulence?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  66. Millington, Tristan & Niranjan, Mahesan, 2021. "Construction of minimum spanning trees from financial returns using rank correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  67. 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).
  68. Nicolás Magner Pulgar & Esteban José Antonio Terán Sánchez & Vicente Alfonso Guzmán Muñoz, 2022. "Stock Market Synchronization and Stock Volatility: The Case of an Emerging Market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(3), pages 1-22, Julio - S.
  69. Kiran Sharma & Anindya S. Chakrabarti & Anirban Chakraborti, 2018. "Multi-layered Network Structure: Relationship Between Financial and Macroeconomic Dynamics," Papers 1805.06829, arXiv.org, revised Mar 2019.
  70. Nie, Chun-Xiao & Song, Fu-Tie, 2023. "Stable versus fragile community structures in the correlation dynamics of Chinese industry indices," Chaos, Solitons & Fractals, Elsevier, vol. 167(C).
  71. Ling, Yu-Xiu & Xie, Chi & Wang, Gang-Jin, 2022. "Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective," Emerging Markets Review, Elsevier, vol. 52(C).
  72. Sesil Lim & Bas Donkers & Patrick Dijl & Benedict G. C. Dellaert, 2021. "Digital customization of consumer investments in multiple funds: virtual integration improves risk–return decisions," Journal of the Academy of Marketing Science, Springer, vol. 49(4), pages 723-742, July.
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