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- W2073128439 abstract "The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account non-synchronous trading effects. The study of the resulting networks of over 94 sub-samples revealed three significant findings. First, after the recent financial crisis the impact of the US stock market has declined. Second, spatial probit models confirmed the role of the temporal proximity between market closing times for return spillovers, i.e. the time distance between national stock markets matters. Third, preferential attachment between stock markets exists, i.e. spillover from market j to market i is more likely if A) market j influences other markets other than i, or when B) market i is influenced by other markets other than j." @default.
- W2073128439 created "2016-06-24" @default.
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- W2073128439 date "2015-06-01" @default.
- W2073128439 modified "2023-10-06" @default.
- W2073128439 title "Granger causality stock market networks: Temporal proximity and preferential attachment" @default.
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- W2073128439 doi "https://doi.org/10.1016/j.physa.2015.02.017" @default.
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