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The Index cohesive effect on stock market correlations

Citations

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Cited by:

  1. Li, Bao-Gen & Ling, Dian-Yi & Yu, Zu-Guo, 2021. "Multifractal temporally weighted detrended partial cross-correlation analysis of two non-stationary time series affected by common external factors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
  2. Yue-Hua Dai & Wen-Jie Xie & Zhi-Qiang Jiang & George J. Jiang & Wei-Xing Zhou, 2016. "Correlation structure and principal components in the global crude oil market," Empirical Economics, Springer, vol. 51(4), pages 1501-1519, December.
  3. Vidal-Tomás, David, 2021. "The entry and exit dynamics of the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 58(C).
  4. Dror Y. Kenett & Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley, 2015. "Partial correlation analysis: applications for financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 569-578, April.
  5. Jianrong Wei & Jiping Huang, 2012. "An Exotic Long-Term Pattern in Stock Price Dynamics," PLOS ONE, Public Library of Science, vol. 7(12), pages 1-5, December.
  6. 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.
  7. Goodman, James, 2014. "Evidence for ecological learning and domain specificity in rational asset pricing and market efficiency," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 48(C), pages 27-39.
  8. Dror Y Kenett & Yoash Shapira & Asaf Madi & Sharron Bransburg-Zabary & Gitit Gur-Gershgoren & Eshel Ben-Jacob, 2011. "Index Cohesive Force Analysis Reveals That the US Market Became Prone to Systemic Collapses Since 2002," PLOS ONE, Public Library of Science, vol. 6(4), pages 1-8, April.
  9. Sandoval, Leonidas, 2012. "Pruning a minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2678-2711.
  10. Jørgen Vitting Andersen & Andrzej Nowak & Giulia Rotundo & Lael Parrott & Sebastian Martinez, 2011. "“Price-Quakes” Shaking the World's Stock Exchanges," PLOS ONE, Public Library of Science, vol. 6(11), pages 1-8, November.
  11. Andrey Kudryavtsev & Gil Cohen & Julia Pavlodsky, 2012. "Incorporating Weekend Information in Stock Prices: Evidence from Israeli Stock Market," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 1(4), pages 1-1.
  12. 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.
  13. Dror Y. Kenett & Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley, 2014. "Partial correlation analysis: Applications for financial markets," Papers 1402.1405, arXiv.org.
  14. Chang, Jinyuan & Qiu, Yumou & Yao, Qiwei & Zou, Tao, 2018. "Confidence regions for entries of a large precision matrix," Journal of Econometrics, Elsevier, vol. 206(1), pages 57-82.
  15. Heckens, Anton J. & Guhr, Thomas, 2022. "New collectivity measures for financial covariances and correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  16. 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.
  17. Chang, Jinyuan & Qiu, Yumou & Yao, Qiwei & Zou, Tao, 2018. "Confidence regions for entries of a large precision matrix," LSE Research Online Documents on Economics 87513, London School of Economics and Political Science, LSE Library.
  18. 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.
  19. Dror Y Kenett & Matthias Raddant & Thomas Lux & Eshel Ben-Jacob, 2012. "Evolvement of Uniformity and Volatility in the Stressed Global Financial Village," PLOS ONE, Public Library of Science, vol. 7(2), pages 1-8, February.
  20. Haotian Cai & Anatoly B. Schmidt, 0. "Comparing mean–variance portfolios and equal-weight portfolios for major US equity indexes," Journal of Asset Management, Palgrave Macmillan, vol. 0, pages 1-7.
  21. Zhenxi CHEN & Jan F. KIVIET & Weihong Huang, 2014. "Hong Kong: A Bridge Connecting Mainland China and the International Market," Economic Growth Centre Working Paper Series 1406, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
  22. Wang, Jian & Huang, Menghao & Wu, Xinpei & Kim, Junseok, 2023. "A local fitting based multifractal detrend fluctuation analysis method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).
  23. Leonidas Sandoval Junior & Asher Mullokandov & Dror Y. Kenett, 2015. "Dependency Relations among International Stock Market Indices," JRFM, MDPI, vol. 8(2), pages 1-39, May.
  24. 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).
  25. M. Raddant & T. Di Matteo, 2023. "A look at financial dependencies by means of econophysics and financial economics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(4), pages 701-734, October.
  26. Kundan Mukhia & Anish Rai & SR Luwang & Md Nurujjaman & Sushovan Majhi & Chittaranjan Hens, 2024. "Complex network analysis of cryptocurrency market during crashes," Papers 2405.05642, arXiv.org.
  27. Bury, Thomas, 2013. "Market structure explained by pairwise interactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1375-1385.
  28. Mai, Yong & Chen, Huan & Meng, Lei, 2014. "An analysis of the sectorial influence of CSI300 stocks within the directed network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 396(C), pages 235-241.
  29. Zhenxi Chen & Jan F. Kiviet & Weihong Huang, 2015. "On the integration of China's main stock exchange with the international financial market," Economic Growth Centre Working Paper Series 1505, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
  30. Lei Tan & Bo Zheng & Jun-Jie Chen & Xiong-Fei Jiang, 2015. "How Volatilities Nonlocal in Time Affect the Price Dynamics in Complex Financial Systems," PLOS ONE, Public Library of Science, vol. 10(2), pages 1-16, February.
  31. Zhipu Zhou & Alexander Shkolnik & Sang-Yun Oh, 2020. "Endogenous Representation of Asset Returns," Papers 2010.13245, arXiv.org, revised Nov 2020.
  32. Thomas Bury, 2013. "A statistical physics perspective on criticality in financial markets," Papers 1310.2446, arXiv.org, revised Jan 2014.
  33. Haotian Cai & Anatoly B. Schmidt, 2020. "Comparing mean–variance portfolios and equal-weight portfolios for major US equity indexes," Journal of Asset Management, Palgrave Macmillan, vol. 21(4), pages 326-332, July.
  34. Civitarese, Jamil, 2016. "Volatility and correlation-based systemic risk measures in the US market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 459(C), pages 55-67.
  35. Dai, Peng-Fei & Xiong, Xiong & Zhou, Wei-Xing, 2021. "A global economic policy uncertainty index from principal component analysis," Finance Research Letters, Elsevier, vol. 40(C).
  36. Gao, Yan & Gao, Yao, 2015. "Statistical properties of short-selling and margin-trading activities and their impacts on returns in the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 293-307.
  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).
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