Community Analysis of Global Financial Markets
AbstractWe analyze the daily returns of stock market indices and currencies of 56 countries over the period of 2002–2012. We build a network model consisting of two layers, one being the stock market indices and the other the foreign exchange markets. Synchronous and lagged correlations are used as measures of connectivity and causality among different parts of the global economic system for two different time intervals: non-crisis (2002–2006) and crisis (2007–2012) periods. We study community formations within the network to understand the influences and vulnerabilities of specific countries or groups of countries. We observe different behavior of the cross correlations and communities for crisis vs. non-crisis periods. For example, the overall correlation of stock markets increases during crisis while the overall correlation in the foreign exchange market and the correlation between stock and foreign exchange markets decrease, which leads to different community structures. We observe that the euro, while being central during the relatively calm period, loses its dominant role during crisis. Furthermore we discover that the troubled Eurozone countries, Portugal, Italy, Greece and Spain, form their own cluster during the crisis period. View Full-Text
Scifeed alert for new publicationsNever miss any articles matching your research from any publisher
- Get alerts for new papers matching your research
- Find out the new papers from selected authors
- Updated daily for 49'000+ journals and 6000+ publishers
- Define your Scifeed now
Vodenska, I.; Becker, A.P.; Zhou, D.; Kenett, D.Y.; Stanley, H.E.; Havlin, S. Community Analysis of Global Financial Markets. Risks 2016, 4, 13.
Vodenska I, Becker AP, Zhou D, Kenett DY, Stanley HE, Havlin S. Community Analysis of Global Financial Markets. Risks. 2016; 4(2):13.Chicago/Turabian Style
Vodenska, Irena; Becker, Alexander P.; Zhou, Di; Kenett, Dror Y.; Stanley, H. E.; Havlin, Shlomo. 2016. "Community Analysis of Global Financial Markets." Risks 4, no. 2: 13.
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.