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https://ruomo.lib.uom.gr/handle/7000/359
Title: | Financial networks based on Granger causality: A case study |
Authors: | Papana, Angeliki Kyrtsou, Catherine Kugiumtzis, Dimitris Diks, Cees |
Type: | Article |
Subjects: | FRASCATI::Social sciences::Economics and Business::Econometrics FRASCATI::Social sciences::Economics and Business::Finance |
Keywords: | Granger causality PMIME Financial network |
Issue Date: | 15-Sep-2017 |
Source: | Physica A: Statistical Mechanics and its Applications |
Volume: | 482 |
First Page: | 65 |
Last Page: | 73 |
Abstract: | Connectivity analysis is performed on a long financial record of 21 international stock indices employing a linear and a nonlinear causality measure, the conditional Granger causality index (CGCI) and the partial mutual information on mixed embedding (PMIME), respectively. Both measures aim to specify the direction of the interrelationships among the international stock indexes and portray the links of the resulting networks, by the presence of direct couplings between variables exploiting all available information. However, their differences are assessed due to the presence of nonlinearity. The weighted networks formed with respect to the causality measures are transformed to binary ones using a significance test. The financial networks are formed on sliding windows in order to examine the network characteristics and trace changes in the connectivity structure. Subsequently, two statistical network quantities are calculated; the average degree and the average shortest path length. The empirical findings reveal interesting time-varying properties of the constructed network, which are clearly dependent on the nature of the financial cycle. |
URI: | https://doi.org/10.1016/j.physa.2017.04.046 https://ruomo.lib.uom.gr/handle/7000/359 |
ISSN: | 03784371 |
Other Identifiers: | 10.1016/j.physa.2017.04.046 |
Appears in Collections: | Department of Economics |
Files in This Item:
File | Description | Size | Format | |
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PhysicaA_PKKD.pdf | PhysicaA2017_PKKD | 641,72 kB | Adobe PDF | View/Open |
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