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Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis

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Author Info

  • Abdelwahab Allali

    ()

  • Amor Oueslati

    ()

  • Abdelwahed Trabelsi

    ()

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    Abstract

    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10690-010-9133-1
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    Bibliographic Info

    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 18 (2011)
    Issue (Month): 3 (September)
    Pages: 319-344

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    Handle: RePEc:kap:apfinm:v:18:y:2011:i:3:p:319-344

    Contact details of provider:
    Web page: http://springerlink.metapress.com/link.asp?id=102851

    Related research

    Keywords: Time series; Frequency domain analysis; Graphical models; Partial directed coherence; Granger causality; Instantaneous causality; Global Markov properties; Information transmission; International financial market; VAR model;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Makram Talih & Nicolas Hengartner, 2005. "Structural learning with time-varying components: tracking the cross-section of financial time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(3), pages 321-341.
    2. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
    3. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
    4. Chan, Kalok & Chockalingam, Mark & Lai, Kent W. L., 2000. "Overnight information and intraday trading behavior: evidence from NYSE cross-listed stocks and their local market information," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 495-509, December.
    5. Eichler, Michael, 2007. "Granger causality and path diagrams for multivariate time series," Journal of Econometrics, Elsevier, vol. 137(2), pages 334-353, April.
    6. Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-99, September.
    7. Morana, Claudio & Beltratti, Andrea, 2008. "Comovements in international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 31-45, February.
    8. Knif, Johan & Pynnonen, Seppo, 1999. "Local and global price memory of international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(2), pages 129-147, April.
    9. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
    10. Govindan, R.B. & Raethjen, J. & Kopper, F. & Claussen, J.C. & Deuschl, G., 2005. "Estimation of time delay by coherence analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 277-295.
    11. Daniel Yasumasa Takahashi & Luiz Antonio Baccal & Koichi Sameshima, 2007. "Connectivity Inference between Neural Structures via Partial Directed Coherence," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(10), pages 1259-1273.
    12. Fernandez-Izquierdo, Angeles & Lafuente, Juan Angel, 2004. "International transmission of stock exchange volatility: Empirical evidence from the Asian crisis," Global Finance Journal, Elsevier, vol. 15(2), pages 125-137, August.
    13. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
    14. Schotman, Peter C. & Zalewska, Anna, 2006. "Non-synchronous trading and testing for market integration in Central European emerging markets," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 462-494, October.
    15. Gary Tian & Mingyuan Guo, 2007. "Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 28(3), pages 287-306, April.
    16. Fong, Kingsley & Martens, Martin, 2002. "Overnight futures trading: now even Australia and US have common trading hours," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 167-182, April.
    17. Barclay, Michael J. & Hendershott, Terrence, 2008. "A comparison of trading and non-trading mechanisms for price discovery," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 839-849, December.
    18. Roland Fried, 2003. "Decomposability and selection of graphical models for multivariate time series," Biometrika, Biometrika Trust, vol. 90(2), pages 251-267, June.
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    Cited by:
    1. Gao, Wei & Zhao, Hongxia, 2013. "Conditional independence graph for nonlinear time series and its application to international financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(10), pages 2460-2469.
    2. Sandoval, Leonidas, 2012. "Pruning a minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2678-2711.

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