شبکه چند مقیاسی برای 20 بازار سهام با استفاده از DCCA
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شبکه چند مقیاسی برای 20 بازار سهام با استفاده از DCCA

عنوان فارسی مقاله: شبکه چند مقیاسی برای 20 بازار سهام با استفاده از DCCA
عنوان انگلیسی مقاله: Multiscale network for 20 stock markets using DCCA
مجله/کنفرانس: Physica A: مکانیک آماری و کاربردهای آن - Physica A: Statistical Mechanics and its Applications
رشته های تحصیلی مرتبط: اقتصاد
گرایش های تحصیلی مرتبط: اقتصاد مالی، اقتصاد پولی، توسعه اقتصادی و برنامه ریزی
کلمات کلیدی فارسی: مرکزیت، جامعه، همبستگی متقابل، شبکه های چند مقیاسی، بازارهای سهام
کلمات کلیدی انگلیسی: Centrality، Community، Cross-correlation، Multiscale networks، Stock markets
نوع نگارش مقاله: مقاله پژوهشی (Research Article)
نمایه: Scopus - Master Journals List - JCR
شناسه دیجیتال (DOI): https://doi.org/10.1016/j.physa.2019.121542
دانشگاه: Programa de Modelagem Computacional, SENAI Cimatec, Av. Orlando Gomes 1845, 41.650-010, Salvador, BA, Brazil
ناشر: الزویر - Elsevier
نوع ارائه مقاله: ژورنال
نوع مقاله: ISI
سال انتشار مقاله: 2019
ایمپکت فاکتور: 2/795 در سال 2018
شاخص H_index: 141 در سال 2019
شاخص SJR: 0/699 در سال 2018
شناسه ISSN: 0378-4371
شاخص Quartile (چارک): Q2 در سال 2018
فرمت مقاله انگلیسی: PDF
تعداد صفحات مقاله انگلیسی: 12
وضعیت ترجمه: ترجمه نشده است
قیمت مقاله انگلیسی: رایگان
آیا این مقاله بیس است: خیر
آیا این مقاله مدل مفهومی دارد: ندارد
آیا این مقاله پرسشنامه دارد: ندارد
آیا این مقاله متغیر دارد: ندارد
کد محصول: E12855
رفرنس: دارای رفرنس در داخل متن و انتهای مقاله
فهرست انگلیسی مطالب

Abstract


1- Introduction


2- Data


3- Methodology


4- Results


5- Concluding remarks


References

نمونه متن انگلیسی مقاله

Abstract


The aim of this paper is to analyze the stock exchanges for a large set of countries (20 in total) before and after the subprime crisis, identifying which markets are the most central and if the linkage pattern changed after the crisis. We started by calculating the correlations between stock markets’ returns, using the DCCA, in order to identify if there is some variation in the scale between the links in the different stock markets of the network, in both periods. Additionally, a cross-correlation filtering process will be performed with the intention of identifying which countries have stronger relationships according to the used time scales. The results show the central role of European markets among the world’s main financial markets, mainly France, Germany and the United Kingdom. Moreover, after the subprime crisis we find the formation of two large communities, one of European and American countries and the other formed by Asian countries plus Australia, while in the pre-crisis period three communities could be identified. It is possible to conclude that after the 2008 crisis the connectivity and integration of the network for the whole set of analyzed timescales increased.


Introduction


Financial markets move trillions of USD annually, and understanding their dynamics is of vital importance to the world economy, for several types of economic agents: actual or potential investors, managers of firms and of mutual funds, for economic authorities and also for policy makers. The fact that any information coming from financial markets could be used, for example, to prevent financial crises or to improve the financial system underlines the importance of continuing to study these markets. In the context of financial markets, stock market integration is a much studied topic in the financial literature and also a very broad one, not only with a vast amount of literature but also using different methodologies to assess the evolution of stock market integration. So, it is firstly important to identify a general overview about integration, as well as its advantages and disadvantages. Stock market integration is a particular aspect of the broader issue of financial integration. As a whole, if markets are more integrated, this is expected to boost countries’ growth, allowing citizens to increase their well-being. This is due, for example, to the fact that more integrated markets could cause better savings allocation (see, amongst many others, [1] or [2]). However, authors also recognize that, despite these potential advantages, increased market integration could have a negative effect because this potentiates greater financial instability and financial contagion (see, for example, [3]). The fact that economies increase their interdependence could heighten these effects [4]. Authors such as Bekaert et al.

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