Cointegration networks in stock markets
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Roca, Eduardo
Li, Bin
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Abstract
We use a novel approach based on a combination of network and cointegration analysis to examine linkages between stock markets across market cycles. Our results show that long-run linkages are likely to be global rather than regional and that market turbulence increases linkages. However, we find no widespread common stochastic trends between markets and neither are we able to draw a conclusion that major financial markets display influences network linkages.
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Applied Economics Letters
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© 2017 Taylor & Francis (Routledge). This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics Letters on 19 Jul 2017, available online: http://www.tandfonline.com/10.1080/13504851.2017.1355534
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