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Dynamics of Network of Global Stock Markets
2012
Accounting and Finance Research
This paper studies the co-movement pattern of 67 stock market indices in the past 5 years. In order to capture the complex interaction of the stock markets, we propose a network approach to analyze the interdependence of the individual stock markets. Specifically, stock markets are considered as network nodes, and the network links (weights of links) are defined by the dynamic conditional correlation between market indices. We reveal the structure dynamics of global stock market integration by
doi:10.5430/afr.v1n2p1
fatcat:fh5qfqre3rg3tmujhez5sacy5q