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Data 2017, 2(4), 41; doi:10.3390/data2040041

Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration

School of Management Studies, National Institute of Technology, Calicut 673601, Kerala, India
Department of Biochemistry, Sanger Building, University of Cambridge, 80 Tennis Court Road, Cambridge CB2 1GA, UK
Institute of Cancer and Genomic Sciences, Centre for Computational Biology, University of Birmingham, Birmingham B15 2TT, UK
Institute of Translational Medicine, University Hospitals Birmingham NHS, Foundation Trust, Birmingham B15 2TT, UK
Author to whom correspondence should be addressed.
Received: 8 November 2017 / Revised: 5 December 2017 / Accepted: 5 December 2017 / Published: 9 December 2017
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The state of cross-market linkage structures and its stability over varying time-periods play a key role in the performance of international diversified portfolios. There has been an increasing interest of global investors in emerging capital markets in the Asian region. In this setting, an investigation into the temporal dynamics of cross-market linkage structures becomes significant for the selection and optimal allocation of securities in an internationally-diversified portfolio. In the quest for this, in the current study, weighted network models along with network metrics are employed to decipher the underlying cross-market linkage structures among Asian markets. The study analyses the daily return data of fourteen major Asian indices for a period of 14 years (2002–2016). The topological properties of the network are computed using centrality measures and measures of influence strength and are investigated over temporal scales. In particular, the overall influence strengths and India-specific influence strengths are computed and examined over a temporal scale. Threshold filtering is also performed to characterize the dynamics related to the linkage structure of these networks. The impacts of the 2008 financial crisis on the linkage structural patterns of these equity networks are also investigated. The key findings of this study include: a set of central and peripheral indices, the evolution of the linkage structures over the 2002–2016 period and the linkage dynamics during times of market stress. Mainly, the set of indices possessing influence over the Asian region in general and the Indian market in particular is also identified. The findings of this study can be utilized in effective systemic risk management and for the selection of an optimally-diversified portfolio, resilient to system-level shocks. View Full-Text
Keywords: weighted network; centrality measures; influence strength; disparity; threshold filtering weighted network; centrality measures; influence strength; disparity; threshold filtering

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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Bhattacharjee, B.; Shafi, M.; Acharjee, A. Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration. Data 2017, 2, 41.

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