Granger causality stock market networks: Temporal proximity and
preferential attachment

J 2015

Granger causality stock market networks: Temporal proximity and preferential attachment

VÝROST, Tomáš; Štefan LYÓCSA a Eduard BAUMÖHL

Základní údaje

Originální název

Granger causality stock market networks: Temporal proximity and preferential attachment

Autoři

VÝROST, Tomáš; Štefan LYÓCSA a Eduard BAUMÖHL

Vydání

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, AMSTERDAM, ELSEVIER, 2015, 0378-4371

Další údaje

Typ výsledku

Článek v odborném periodiku

Impakt faktor

Impact factor: 1.785

Označené pro přenos do RIV

DOI

https://doi.org/10.1016/j.physa.2015.02.017

UT WoS

000351963700026

Klíčová slova anglicky

Stock market networks; Granger causality; Emerging and frontier markets; Non-synchronous trading; Preferential attachment

Změněno: 31. 1. 2026 16:29, doc. Ing. Tomáš Výrost, PhD.

Anotace

V originále

The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account non-synchronous trading effects. The study of the resulting networks of over 94 sub-samples revealed three significant findings. First, after the recent financial crisis the impact of the US stock market has declined. Second, spatial probit models confirmed the role of the temporal proximity between market closing times for return spillovers, i.e. the time distance between national stock markets matters. Third, a preferential attachment between stock markets exists, i.e. the probability of the presence of spillover effects between any given two markets increases with their degree of connectedness to others. (C) 2015 Elsevier B.V. All rights reserved.

Citovat

VÝROST, Tomáš; Štefan LYÓCSA a Eduard BAUMÖHL. Granger causality stock market networks: Temporal proximity and preferential attachment. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS. AMSTERDAM: ELSEVIER, 2015, roč. 427, s. 262-276. ISSN 0378-4371. Dostupné z: https://doi.org/10.1016/j.physa.2015.02.017.

@article{2551520,
   author = {Výrost, Tomáš and Lyócsa, Štefan and Baumöhl, Eduard},
   article_location = {AMSTERDAM},
   doi = {https://doi.org/10.1016/j.physa.2015.02.017},
   keywords = {Stock market networks; Granger causality; Emerging and frontier markets; Non-synchronous trading; Preferential attachment},
   issn = {0378-4371},
   journal = {PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS},
   title = {Granger causality stock market networks: Temporal proximity and preferential attachment},
   volume = {427},
   year = {2015}
}

TY  - JOUR
ID  - 2551520
AU  - Výrost, Tomáš - Lyócsa, Štefan - Baumöhl, Eduard
PY  - 2015
TI  - Granger causality stock market networks: Temporal proximity and preferential attachment
JF  - PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
VL  - 427
SP  - 262-276
EP  - 262-276
PB  - ELSEVIER
SN  - 03784371
KW  - Stock market networks
KW  - Granger causality
KW  - Emerging and frontier markets
KW  - Non-synchronous trading
KW  - Preferential attachment
N2  - The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account non-synchronous trading effects. The study of the resulting networks of over 94 sub-samples revealed three significant findings. First, after the recent financial crisis the impact of the US stock market has declined. Second, spatial probit models confirmed the role of the temporal proximity between market closing times for return spillovers, i.e. the time distance between national stock markets matters. Third, a preferential attachment between stock markets exists, i.e. the probability of the presence of spillover effects between any given two markets increases with their degree of connectedness to others. (C) 2015 Elsevier B.V. All rights reserved.
ER  -

VÝROST, Tomáš; Štefan LYÓCSA a Eduard BAUMÖHL. Granger causality stock market networks: Temporal proximity and preferential attachment. \textit{PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS}. AMSTERDAM: ELSEVIER, 2015, roč.~427, s.~262-276. ISSN~0378-4371. Dostupné z: https://doi.org/10.1016/j.physa.2015.02.017.

Přehled o publikaci