The evolution of interdependence in world equity markets—Evidence from minimum spanning trees
By Ricardo Coelho, C. Gilmore, Brian M. Lucey, Peter Richmond, S. Hutzler. 2006
163 citations recorded by the source corpus.
Abstract The concept of a minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean occupation layer, and single- and multiple-step linkage survival rates. Over the period studied, 1997–2006, the tree shows a tendency to become more compact. This implies that global equity markets are increasingly interrelated. The consequence for global investors is a potential reduction of the benefits of international portfolio diversification.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1849d3cf5c658a76839c1e7ca18cc90890b82e86
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Citations in the corpus
- Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, unknown): “This paper introduce a new conceptual framework that can be used to assess the financial contagion of the COVID-19 pandemic, or any future global unexpected and unpredictable events, at four levels of information transmission: (i) Catalyst of contagion, which is particularly important in the current”
- Correlation structure and dynamics of international real estate securities markets: A network perspective (2015, background): “[10,45–48]).”
- Evolution of the World Crude Oil Market Integration: A Graph Theory Analysis (2016, unknown): “Both the time scale and stability magnitude are tested using a multistep survival ratio of edges specified as follows (Coelho et al., 2007).”