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What Form did Global Financial Integration Take from 1960 to 2015? A Topological Analysis

Author

Listed:
  • Cécile Bastidon

    (LEAD - Laboratoire d'Économie Appliquée au Développement - UTLN - Université de Toulon, CAC-IXXI, Complex Systems Institute)

  • Antoine Parent

    (UP8 - Université Paris 8 Vincennes-Saint-Denis, CAC-IXXI, Complex Systems Institute, OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po)

Abstract

We propose an original analysis of the second globalization era, using an alternative range of equity prices integration indicators based on the topological structure of world equity markets. The sample includes 32 countries over the period 1960-2015. Particular importance is given to the study of the major stylized fact in the literature, the Lucas paradox, in its different forms including the "allocation" puzzle within emerging economies. This original methodological approach highlights that the second globalization era is characterized by an increasing unpredictability of the structure and dynamics of the system. First, at the end of the study period the most integrated countries are split between advanced economies and emerging economies while some advanced economies are among the least integrated. Secondly, the structure of the network changes from a linear network to a star network, implying a shortening of transmission chains and thus a facilitated diffusion of international price shocks.

Suggested Citation

  • Cécile Bastidon & Antoine Parent, 2016. "What Form did Global Financial Integration Take from 1960 to 2015? A Topological Analysis," SciencePo Working papers Main hal-03318514, HAL.
    • Handle: RePEc:hal:spmain:hal-03318514
    DOI: 10.2139/ssrn.2902547
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    1. repec:hal:spmain:info:hdl:2441/ps168627s85g86i5u1aj5akpm is not listed on IDEAS
    2. Bastidon, Cécile & Parent, Antoine & Jensen, Pablo & Abry, Patrice & Borgnat, Pierre, 2020. "Graph-based era segmentation of international financial integration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).

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