Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration
Abstract
:1. Introduction
2. Related Works
2.1. Dependencies in Financial Time Series
2.2. Existing Methodologies
2.3. Existing Results
3. Materials and Methods
3.1. Data
3.2. Steps in Building Asian Indices Weighted Network Model
3.2.1. The Rolling Window Approach
3.2.2. Computation of Weights of Edges in the Asian Indices Network
3.2.3. Weighted Network Model Building
3.3. Computation of Network Metrics
3.3.1. Centrality Measures
3.3.2. Influence Strength Measures
3.4. Threshold Filtering
3.5. Segmentation Structure of Filtered Networks during the 2008 Crisis
4. Results
4.1. Topological Properties of the Asian Indices Network
4.2. Reduced Network Visualization
4.3. PreCrisis, Crisis and PostCrisis Period Analysis
5. Discussions
6. Conclusions
Supplementary Materials
Acknowledgments
Author Contributions
Conflicts of Interest
References
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CrossMarket Integration Measure(s)  Method of Computation  Studies Using the Measure for CrossMarket Integration 

Simple correlation 
 Ref. [38,39] 
R^{2} 
 Ref. [27,40] 
1st Principal component 
 Ref. [28,41] 
ASIadjusted Simple correlations 
 Ref. [42] 
Dynamic Crosscountry Correlations GARCH 
 Ref. [43,44,45] 
Baba Engle Kraft Kroner GARCH 
 Ref. [46,47] 
Conditional Beta 
 Ref. [48,49] 
ASIadjusted R^{2} 
 Ref. [29] 
ASIadjusted 1st Principal component 
 Ref. [29] 
Forbes–Rigobon Correlation 
 Ref. [29] 
Author (s)  Asian Indices Studied  Study Periods  Methodologies  Findings about CrossMarket Integration in Asia 

Huyghebaert and Wang [50]  China (Shanghai and Shenzhen), Hong Kong, Taiwan, Singapore, South Korea and Japan  1 July 1992–30 June 2003  Granger causality tests, multivariate Granger causality tests based on the VAR model and impulse response analysis 

ChelleySteeley [51]  Korea, Thailand, Singapore and Taiwan  3 January 1990–30 January 2002  Smooth transition analysis 

Donadelli and Paradiso [52]  China, India, Malaysia, Pakistan, The Philippines, Sri Lanka and Thailand Ten sector equity indexes of these countries  January 1994–July 2012  Principal component analysis 

Yu et al. [53]  Japan, Mainland China, Hong Kong SAR, Taiwan, South Korea, Singapore, Malaysia, Thailand, Indonesia and The Philippines  16 March 1994–19 December 2008  Crossmarket return dispersion, Haldane and Hall Kalman filter method, dynamic cointegration analysis, common component approach, market cycle synchronization, dynamic conditional correlation 

Click and Plummer [54]  Indonesia, Malaysia, The Philippines, Singapore and Thailand  1 July 1998–31 December 2002  Cointegration analysis 

Symbol Used  Country  Stock Exchange  Benchmark Indices 

AS_BSE  India  Bombay Stock Exchange  S&P BSE 500 Index 
AS_SSE  China  Shanghai Stock Exchange  SSE Composite Index 
AS_SEHK  Hong Kong  Stock Exchange of Hong Kong  Hang Seng Index 
AS_IDX  Indonesia  Jakarta Stock Exchange  Jakarta Composite Index 
AS_TASE  Israel  Tel Aviv Stock Exchange  TA 25 Index 
AS_TSE  Japan  Tokyo Stock Exchange  NIKKEI 255 Index 
AS_JSE  Jordan  Amman Stock Exchange  Amman SE AllShare Index 
AS_MYX  Malaysia  Bursa Malaysia  FTSE KLCI Index 
AS_KSE  Pakistan  Karachi Stock Exchange  KSE 100 Index 
AS_PSE  Philippines  Philippine Stock Exchange  PSEi Index 
AS_SGX  Singapore  Singapore Exchange limited  FTSE Singapore Index 
AS_KRX  South Korea  Korea Exchange  KOSPI Composite Index 
AS_CSE  Sri Lanka  Colombo Stock Exchange  COLOMBO IND ALL SHS Index 
AS_TWSE  Taiwan  Taiwan Stock Exchange Corporation  TSEC weighted Index 
Asian Index  Country  Average Closeness Centrality  Average Degree Centrality  Average Eigen Vector Centrality  Average Overall Influence Strength 

AS_BSE  India  0.0626340  3.7996830  0.8367462  3.6467550 
AS_SSE  China  0.0466227  2.3656632  0.8803288  2.2372871 
AS_SEHK  Hong Kong  0.0743654  5.1585482  0.7705337  5.0086470 
AS_IDX  Indonesia  0.0691288  4.4158373  0.8158331  4.2644586 
AS_TASE  Israel  0.0516557  2.6301378  0.8792498  2.4811778 
AS_TSE  Japan  0.0662967  4.2850194  0.7993428  4.1356420 
AS_JSE  Jordan  0.0294119  1.0910145  0.9293138  1.0000833 
AS_MYX  Malaysia  0.0623657  3.7289809  0.8276162  3.5344467 
AS_KSE  Pakistan  0.0330786  1.2714288  0.9234724  1.1284232 
AS_PSE  Philippines  0.0591636  3.3492958  0.8603158  3.1989751 
AS_SGX  Singapore  0.0735244  5.0011671  0.7805234  4.8415159 
AS_KRX  South Korea  0.0712248  4.8687434  0.7856946  4.7235433 
AS_CSE  Sri Lanka  0.0281424  0.9488094  0.9377192  0.8151270 
AS_TWSE  Taiwan  0.0688079  4.5569932  0.7973869  4.4096110 
CENTRAL NODES  PERIPHERAL NODES  

Market Indices  Average Centrality  Market Indices  Average Centrality 
AS_SEHK (Hong Kong)  1.91086705  AS_JSE (Jordan)  0.755388297 
AS_SGX (Singapore)  1.889665576  AS_CSE (Sri Lanka)  0.85636622 
AS_TWSE (Taiwan)  1.848760205  AS_KSE (Pakistan)  1.039834298 
AS_KRX (Korea)  1.772898169  AS_SSE (China)  1.179702772 
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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. https://doi.org/10.3390/data2040041
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(4):41. https://doi.org/10.3390/data2040041
Chicago/Turabian StyleBhattacharjee, Biplab, Muhammad Shafi, and Animesh Acharjee. 2017. "Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration" Data 2, no. 4: 41. https://doi.org/10.3390/data2040041