Cointegration analysis and influence rank—A network approach to global stock markets

Chunxia Yang, Yanhua Chen, Lei Niu and Qian Li

Physica A: Statistical Mechanics and its Applications, 2014, vol. 400, issue C, 168-185

Abstract: In this paper, cointegration relationships among 26 global stock market indices over the periods of sub-prime and European debt crisis and their influence rank are investigated by constructing and analyzing directed and weighted cointegration networks. The obtained results are shown as follows: the crises have changed cointegration relationships among stock market indices, their cointegration relationship increased after the Lehman Brothers collapse, while the degree of cointegration gradually decreased from the sub-prime to European debt crisis. The influence of US, Japan and China market indices are entirely distinguished over different periods. Before European debt crisis US stock market is a ‘global factor’ which leads the developed and emerging markets, while the influence of US stock market decreased evidently during the European debt crisis. Before sub-prime crisis, there is no significant evidence to show that other stock markets co-move with China stock market, while it becomes more integrated with other markets during the sub-prime and European debt crisis. Among developed and emerging stock markets, the developed stock markets lead the world stock markets before European debt crisis, while due to the shock of sub-prime and European debt crisis, their influences decreased and emerging stock markets replaced them to lead global stock markets.

Keywords: Stock markets; Cointegration; Complex network; PageRank algorithm (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:400:y:2014:i:c:p:168-185

DOI: 10.1016/j.physa.2014.01.011

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