Cointegration networks in stock markets

Vik Singh, Eduardo Roca and Bin Li

Applied Economics Letters, 2018, vol. 25, issue 10, 663-667

Abstract: We use a novel approach based on a combination of network and cointegration analysis to examine linkages between stock markets across market cycles. Our results show that long-run linkages are likely to be global rather than regional and that market turbulence increases linkages. However, we find no widespread common stochastic trends between markets and neither are we able to draw a conclusion that major financial markets display influences network linkages.

Date: 2018
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DOI: 10.1080/13504851.2017.1355534

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