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Cointegration-based financial networks study in Chinese stock market

Tu, Chengyi - In: Physica A: Statistical Mechanics and its Applications 402 (2014) C, pp. 245-254

We propose a method based on cointegration instead of correlation to construct financial complex network in Chinese … stock market. The network is obtained starting from the matrix of p-value calculated by Engle–Granger cointegration test …

Persistent link: https://www.econbiz.de/10010753608

Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective

Lin, Xiaoqiang; Tang, Zhenpeng; Fei, Fangyu - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 18, pp. 4064-4074

We investigate the relationships between Shanghai and Shenzhen stock market, and reveal the evidence of cross-correlations between the two stock markets. Our main findings show that Shanghai and Shenzhen stock market are cointegrated, and also present the evidence of strong error-correction...

Persistent link: https://www.econbiz.de/10010872177

Asymmetric price transmission within the Portuguese stock market

Menezes, Rui; Dionisio, Andreia; Mendes, Diana A. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 312-316

cointegration models to deal with the problem of low power of unit roots and cointegration tests in the presence of asymmetric …

Persistent link: https://www.econbiz.de/10010588494

On the integrated behaviour of non-stationary volatility in stock markets

Dionisio, Andreia; Menezes, Rui; Mendes, Diana A. - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 58-65

This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of...

Persistent link: https://www.econbiz.de/10010590228

Long term economic relationships from cointegration maps

Vicente, Renato; Pereira, Carlos de B.; Leite, Vitor B.P.; … - In: Physica A: Statistical Mechanics and its Applications 380 (2007) C, pp. 317-324

We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between …

Persistent link: https://www.econbiz.de/10010591062

Nonlinear joint dynamics between prices of crude oil and refined products

Zhang, Tao; Ma, Guofeng; Liu, Guangsheng - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 444-456

In this paper, we investigate the relationships between crude oil and refined product prices. We find that nonlinear correlations are stronger in the long-term than in the short-term. Crude oil and product prices are cointegrated and financial crisis in 2007–2008 caused a structural break of...

Persistent link: https://www.econbiz.de/10011117860

The relationship between different price indices: Evidence from Turkey

Akdi, Yilmaz; Berument, Hakan; Mümin Cilasun, Seyit - In: Physica A: Statistical Mechanics and its Applications 360 (2006) 2, pp. 483-492

. Dyn. Control 12 (1988) 231–254] cointegration tests give mixed evidence for a possible long-run relationship between those … two series. The model-free and seasonally robust periodogram-based test fails to reject the null of no-cointegration …

Persistent link: https://www.econbiz.de/10011059377

The relationships between Shanghai stock market and CNY/USD exchange rate: New evidence based on cross-correlation analysis, structural cointegration and nonlinear causality test

Liu, Li; Wan, Jieqiu - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 23, pp. 6051-6059

stock price and exchange rate are significantly cross-correlated. Second, employing a cointegration test allowing for a …-called “cointegration” found in previous studies is just caused by the shock of the recent financial crisis. Third, using linear and …

Persistent link: https://www.econbiz.de/10011059904

Cointegration analysis and influence rank—A network approach to global stock markets

Yang, Chunxia; Chen, Yanhua; Niu, Lei; Li, Qian - In: Physica A: Statistical Mechanics and its Applications 400 (2014) C, pp. 168-185

In this paper, cointegration relationships among 26 global stock market indices over the periods of sub-prime and … cointegration networks. The obtained results are shown as follows: the crises have changed cointegration relationships among stock … market indices, their cointegration relationship increased after the Lehman Brothers collapse, while the degree of …

Persistent link: https://www.econbiz.de/10011060323