European union effect on financial correlation dynamics

Li-Ping Huang, Tian Qiu, Guang Chen and Li-Xin Zhong

Physica A: Statistical Mechanics and its Applications, 2019, vol. 528, issue C

Abstract: How social events affect stock markets is a central problem in financial dynamics. In this article, European union effect on correlation dynamics is investigated for European stock markets, based on their daily market data. According to the time the countries enter the European Union(EU), the stock markets are distinguished as the formerly joining the European Union(F-EU) markets, later joining the EU(L-EU) markets, and not joining the EU(N-EU) markets. Based on correlation analysis, Detrended Cross-Correlation Analysis and partial correlation analysis, the union is found to have a great impact on the correlations of F-EU markets, but show little influence on those of the L-EU and N-EU markets. Among the worldwide stock markets, the influence of the F-EU and American stock markets on the Eurostoxx50 index is stronger than that of the L-EU, N-EU markets, and Asian stock markets present weak influence on the Eurostoxx50 index. However, financial crisis would increase the correlations of the L-EU and N-EU stock markets, as well as their influence on the Eurostoxx50 index.

Keywords: Econophysics; Stock market; Financial dynamics (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:528:y:2019:i:c:s0378437119308465

DOI: 10.1016/j.physa.2019.121457

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