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Dynamic Spanning Tree Approach - The Case Of Asia-Pacific Stock Markets

Listed author(s):
  • Ahmet Sensoy

    ()

  • Benjamin M. Tabak

This article proposes a new procedure to evaluate Asia Paci c stock market in-terconnections using a dynamic setting. Dynamic Spanning Trees (DST) are constructed using an ARMA-FIEGARCH-cDCC process. The main results show that: 1. The DST significantly shrinks over time; 2. Hong Kong is found to be the key nancial market; 3. The DST has a significantly increased stabil-ity in the last few years; 4. The removal of the key player has two e ects: there is no clear key market any longer and the stability of the DST signi cantly de- creases. These results are important for the design of policies that help develop stock markets and for academics and practitioners.

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File URL: http://www.borsaistanbul.com/docs/default-source/research/15-dynamic-spanning-tree-approach---the-case-of-asia-pacific-stock-markets.pdf?sfvrsn=4
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Paper provided by Research and Business Development Department, Borsa Istanbul in its series Working Paper with number 15.

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Date of creation: Jan 2014
Handle: RePEc:bor:wpaper:1415
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