We study the time-varying efficiency of 15 Middle East and North African (MENA) stock markets by generalized Hurst exponent analysis of daily data with a rolling window technique. The study covers a time period of six years from January 2007 to December 2012. The results reveal that all MENA...

We analyze the cross-correlation matrix C of the index returns of the main financial markets after the 2008 crisis using methods of random matrix theory. We test the eigenvalues of C for universal properties of random matrices and find that the majority of the cross-correlation coefficients...

During recent years, networks have proven to be an efficient way to characterize and investigate a wide range of complex financial systems. In this study, we first obtain the dynamic conditional correlations between filtered exchange rates (against US dollar) of several countries and introduce a...

This article proposes a new procedure to evaluate Asia Pacific stock market interconnections using a dynamic setting. Dynamic spanning trees (DST) are constructed using an ARMA–FIEGARCH–cDCC process. The main results show that: 1. the DST significantly shrinks over time; 2. Hong Kong is found...