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