The correlation structure in the international stock markets during global financial crisis

Hai-Ling Gao and Dong-Cheng Mei

Physica A: Statistical Mechanics and its Applications, 2019, vol. 534, issue C

Abstract: In this paper we analyze the correlation structure between U.S. markets and Asian markets. Our motivation being analysis of the effect of the 2008 financial crisis on Asian markets. For this purpose, we apply the linear correlations coefficient, the mutual information and the transfer entropy between U.S. stock market indices and eleven major Asia stock market indices. Then, with the overlapping windows for whole sample, and non-overlapping windows for three sub-samples, we quantify the dynamically evolving results of correlation structure between U.S. markets and Asian markets, and study the effect of the 2008 financial crisis on Asian markets by measuring the adherence between post and pre-crisis. Subsequently, for each blue-chip, we propose to study the 2008 financial crisis by measuring the adherence between post and pre-crisis. From this analysis, we can get a dependent structure map of Asian markets and U.S. markets, as well as may better forecasting of risk.

Keywords: The nonlinear correlations; The mutual information; The transfer entropy (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312002

DOI: 10.1016/j.physa.2019.122056

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