Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality Networks
A total of 156 Granger causal networks of stock markets are constructed by using the Granger causality test and time series sliding window based on stock index data of 34 major stock markets in the world from 2004 to 2017. The topological structures and evolution characteristics of the Granger causa...
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| Format: | Article |
| Language: | English |
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Wiley
2018-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2018/9461870 |
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| author | Qiuhong Zheng Liangrong Song |
| author_facet | Qiuhong Zheng Liangrong Song |
| author_sort | Qiuhong Zheng |
| collection | DOAJ |
| description | A total of 156 Granger causal networks of stock markets are constructed by using the Granger causality test and time series sliding window based on stock index data of 34 major stock markets in the world from 2004 to 2017. The topological structures and evolution characteristics of the Granger causal networks are analyzed from the perspective of complex network theory. Empirical results demonstrate that the network topology has a significant difference during the global financial crisis and other periods. The causal relationships among different global stock markets exhibit a jump growth when each major crisis occurs. The contagion path is also short. A causal relationship between any two stock markets can usually be established with one stock market on average, not by using more than five stock markets. For risk contagion, the American stock markets exerted the largest influence in 12 years, followed by the European stock markets. Stock markets with high intermediate contagion ability play an important role in systemic risk contagion. Despite the crucial markets in Europe and America (e.g., USA, Brazil, and Mexico), stock markets with weak network correlation and strong media ability (e.g., the markets of Japan, Korea, Australia, and New Zealand) play a critical role in risk contagion. |
| format | Article |
| id | doaj-art-17099c10692f479da48e0d63804f8854 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2018-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-17099c10692f479da48e0d63804f88542025-02-03T01:10:26ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2018-01-01201810.1155/2018/94618709461870Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality NetworksQiuhong Zheng0Liangrong Song1School of Business, University of Shanghai for Science &Technology, Shanghai 200093, ChinaSchool of Business, University of Shanghai for Science &Technology, Shanghai 200093, ChinaA total of 156 Granger causal networks of stock markets are constructed by using the Granger causality test and time series sliding window based on stock index data of 34 major stock markets in the world from 2004 to 2017. The topological structures and evolution characteristics of the Granger causal networks are analyzed from the perspective of complex network theory. Empirical results demonstrate that the network topology has a significant difference during the global financial crisis and other periods. The causal relationships among different global stock markets exhibit a jump growth when each major crisis occurs. The contagion path is also short. A causal relationship between any two stock markets can usually be established with one stock market on average, not by using more than five stock markets. For risk contagion, the American stock markets exerted the largest influence in 12 years, followed by the European stock markets. Stock markets with high intermediate contagion ability play an important role in systemic risk contagion. Despite the crucial markets in Europe and America (e.g., USA, Brazil, and Mexico), stock markets with weak network correlation and strong media ability (e.g., the markets of Japan, Korea, Australia, and New Zealand) play a critical role in risk contagion.http://dx.doi.org/10.1155/2018/9461870 |
| spellingShingle | Qiuhong Zheng Liangrong Song Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality Networks Discrete Dynamics in Nature and Society |
| title | Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality Networks |
| title_full | Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality Networks |
| title_fullStr | Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality Networks |
| title_full_unstemmed | Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality Networks |
| title_short | Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality Networks |
| title_sort | dynamic contagion of systemic risks on global main equity markets based on granger causality networks |
| url | http://dx.doi.org/10.1155/2018/9461870 |
| work_keys_str_mv | AT qiuhongzheng dynamiccontagionofsystemicrisksonglobalmainequitymarketsbasedongrangercausalitynetworks AT liangrongsong dynamiccontagionofsystemicrisksonglobalmainequitymarketsbasedongrangercausalitynetworks |