The Global Transmission of Stock Market: A Spatial Analysis

Hong Zhang, Xiaojie Gao, Keqiang Dong and Adiel T. de Almeida-Filho

Mathematical Problems in Engineering, 2022, vol. 2022, 1-8

Abstract: The stock markets, exhibiting complex self-correlation or cross-correlation over a broad range of time scales, are correlated not only in time but also in space. The conventional spatial weight matrix in the econometric analysis is short of economic relation between nonadjacent economic entities. Therefore, this paper applies the detrended cross-correlation analysis coefficient and partial correlation coefficient to analyze the global spatial interaction. This study computes the spatial Moran’s I value by the two types of weight matrix for the 15 typical stock indices around the world, to explore the spatial agglomeration phenomenon. Then, the Spatial Durbin Model is applied to investigate the transmission of the stock market. The result from the Moran’s I value indicates that the 15 typical stock indices are spatially correlated. The result of the Spatial Durbin Model gives the relationship among the closing price, the opening price, the highest price, and the lowest price.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/mpe/2022/5049014.pdf (application/pdf)
http://downloads.hindawi.com/journals/mpe/2022/5049014.xml (application/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:5049014

DOI: 10.1155/2022/5049014

Access Statistics for this article

More articles in Mathematical Problems in Engineering from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().