Asymmetric MF-DCCA method based on risk conduction and its application in the Chinese and foreign stock markets

Cao Guangxi, Yan Han, Qingchen Li and Wei Xu

Physica A: Statistical Mechanics and its Applications, 2017, vol. 468, issue C, 119-130

Abstract: The acceleration of economic globalization gradually shows the linkage of the stock markets in various counties and produces a risk conduction effect. An asymmetric MF-DCCA method is conducted based on the different directions of risk conduction (DMF-ADCCA) and by using the traditional MF-DCCA. To ensure that the empirical results are more objective and robust, this study selects the stock index data of China, the US, Germany, India, and Brazil from January 2011 to September 2014 using the asymmetric MF-DCCA method based on different risk conduction effects and nonlinear Granger causality tests to study the asymmetric cross-correlation between domestic and foreign stock markets. Empirical results indicate the existence of a bidirectional conduction effect between domestic and foreign stock markets, and the greater influence degree from foreign countries to domestic market compared with that from the domestic market to foreign countries.

Keywords: Stock markets; Cross-correlation; Risk conduction; Asymmetric; DCCA (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:468:y:2017:i:c:p:119-130

DOI: 10.1016/j.physa.2016.10.002

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