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A network visualisation approach and global stock market integration

Tong, Chen, Chen, Jing and Buckle, Mike 2018. A network visualisation approach and global stock market integration. International Journal of Finance and Economics 23 , pp. 296-314.

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Abstract

This paper applies a visualized network approach to explain the tendency of integration or co-movement among global equity markets. We utilize daily prices of stock market indices of 57 countries from January 1997 to August 2012 to establish both the Minimum Spanning Tree Network (MSTN) and Graphic Network (GN). We study network features including connectivity and centrality through robust indicators. Our results clearly show that there has been a tendency over time for markets to become more integrated globally even during periods of market stress. The centrality results suggest the US and Hong Kong markets have been the most dominant markets in their geographic region. For Europe, we find three dominant centres, the UK, France and Germany in contrast to previous literature suggesting that the UK was the dominant country. We further identify that Japan and Australia, instead of acting as dominant countries in their region, serve as bridging countries between the region and the rest of the world. Finally, we find that Africa does not form a cluster and individual African countries tend to connect to other developed markets in a scattered manner.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Q Science > QA Mathematics
Publisher: Wiley-Blackwell
ISSN: 1076-9307
Date of First Compliant Deposit: 24 January 2018
Date of Acceptance: 19 December 2017
Last Modified: 11 Mar 2020 06:04
URI: http://orca-mwe.cf.ac.uk/id/eprint/87845

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