What Form did Global Financial Integration Take from 1960 to 2015? A Topological Analysis

Cécile Bastidon (bastidon@univ-tln.fr) and Antoine Parent

SciencePo Working papers Main from HAL

Abstract: We propose an original analysis of the second globalization era, using an alternative range of equity prices integration indicators based on the topological structure of world equity markets. The sample includes 32 countries over the period 1960-2015. Particular importance is given to the study of the major stylized fact in the literature, the Lucas paradox, in its different forms including the "allocation" puzzle within emerging economies. This original methodological approach highlights that the second globalization era is characterized by an increasing unpredictability of the structure and dynamics of the system. First, at the end of the study period the most integrated countries are split between advanced economies and emerging economies while some advanced economies are among the least integrated. Secondly, the structure of the network changes from a linear network to a star network, implying a shortening of transmission chains and thus a facilitated diffusion of international price shocks.

Keywords: Lucas paradox; global financial integration; international contagion; equity markets historical dynamics; minimal spanning tree; classification methods (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations:

Published in SSRN Electronic Journal, 2016, ⟨10.2139/ssrn.2902547⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: What Form did Global Financial Integration Take from 1960 to 2015? A Topological Analysis (2016)
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:hal:spmain:hal-03318514

DOI: 10.2139/ssrn.2902547

Access Statistics for this paper

More papers in SciencePo Working papers Main from HAL
Bibliographic data for series maintained by Contact - Sciences Po Departement of Economics (guillaume.sarratdetramezaigues@sciences-po.org).