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

  • Abdelwahab Allali


  • Amor Oueslati


  • Abdelwahed Trabelsi


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    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
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    1. 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.
    2. Eichler, Michael, 2007. "Granger causality and path diagrams for multivariate time series," Journal of Econometrics, Elsevier, vol. 137(2), pages 334-353, April.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. Andrea Beltratti & Claudio Morana, 2006. "Comovements in International Stock Markets," ICER Working Papers 3-2006, ICER - International Centre for Economic Research.
    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. 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.
    10. 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.
    11. Bénédicte Vidaillet & V. D'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
    16. 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.
    17. Roland Fried, 2003. "Decomposability and selection of graphical models for multivariate time series," Biometrika, Biometrika Trust, vol. 90(2), pages 251-267, June.
    18. 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.
    19. 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.
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