Network structure of cross-correlations among the world market indices

Mehmet Eryigit () and Resul Eryiğit

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 17, 3551-3562

Abstract: We report the results of an investigation of the properties of the networks formed by the cross-correlations of the daily and weekly index changes of 143 stock market indices from 59 different countries. Analysis of the asset graphs, minimum spanning trees (MST) and planar maximally filtered graphs (PMFG) of the afermentioned networks confirms that globalization has been increasing in recent years. North American and European markets are observed to be much more strongly connected among themselves compared to the integration with the other geographical regions. Surprisingly, the integration of East Asian markets among themselves as well as to the Western markets is found to be rather weak. MST and PMFG of both daily and weekly return correlations indicates that the clustering of the indices is mostly geographical. The French fsbf250 index is found to be most important node of the MST and PMFG based on several graph centrality measures.

Keywords: Financial cross-correlations; Minimum spanning tree; Planar maximally filtered graph; World financial markets (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:17:p:3551-3562

DOI: 10.1016/j.physa.2009.04.028

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