IDEAS home Printed from https://ideas.repec.org/p/ags/saea11/98858.html
   My bibliography  Save this paper

Structure of interdependencies among international stock markets and contagion patterns of 2008 global financial crisis

Author

Listed:
  • Ahmedov, Zafarbek
  • Bessler, David A.

Abstract

In this study, we apply directed acyclic graphs and search algorithm designed for time series with non-Gaussian distribution to obtain causal structure of innovations from an error correction model. The structure of interdependencies among six international stock markets is investigated. The results provide positive empirical evidence that there exist long-run equilibrium and contemporaneous causal structure among these stock markets. DAG analysis results show that Hong Kong is influenced by all other open markets in contemporaneous time, whereas Shanghai is not influenced by any of the other markets in contemporaneous time. Historical decompositions indicate that New York and Shanghai stock markets are highly exogenous and Germany and Hong Kong are the least exogenous markets. Further, we find that New York is the most influential stock market with consistent impact on price movements. One implication is that diversification between US and Germany may not provide desired immunity from financial crisis contagion as much as it does diversification between US and Shanghai.

Suggested Citation

  • Ahmedov, Zafarbek & Bessler, David A., 2011. "Structure of interdependencies among international stock markets and contagion patterns of 2008 global financial crisis," 2011 Annual Meeting, February 5-8, 2011, Corpus Christi, Texas 98858, Southern Agricultural Economics Association.
  • Handle: RePEc:ags:saea11:98858
    as

    Download full text from publisher

    File URL: http://purl.umn.edu/98858
    Download Restriction: no

    More about this item

    Keywords

    VAR; cointegration; error correction; DAG; causality; financial contagion; Agricultural Finance; Financial Economics;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:saea11:98858. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search). General contact details of provider: http://edirc.repec.org/data/saeaaea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.