Granger causality stock market networks: Temporal proximity and preferential attachment

Tomáš Výrost, Štefan Lyócsa and Eduard Baumohl

Physica A: Statistical Mechanics and its Applications, 2015, vol. 427, issue C, 262-276

Abstract: The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account non-synchronous trading effects. The study of the resulting networks of over 94 sub-samples revealed three significant findings. First, after the recent financial crisis the impact of the US stock market has declined. Second, spatial probit models confirmed the role of the temporal proximity between market closing times for return spillovers, i.e. the time distance between national stock markets matters. Third, a preferential attachment between stock markets exists, i.e. the probability of the presence of spillover effects between any given two markets increases with their degree of connectedness to others.

Keywords: Stock market networks; Granger causality; Emerging and frontier markets; Non-synchronous trading; Preferential attachment (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (48)

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Working Paper: Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:427:y:2015:i:c:p:262-276

DOI: 10.1016/j.physa.2015.02.017

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