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Cointegration networks in stock markets

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  • Vikkram Singh
  • Eduardo Roca
  • Bin Li

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.

Suggested Citation

  • Vikkram Singh & Eduardo Roca & Bin Li, 2018. "Cointegration networks in stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 25(10), pages 663-667, June.
    • Handle: RePEc:taf:apeclt:v:25:y:2018:i:10:p:663-667
    DOI: 10.1080/13504851.2017.1355534
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