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We propose a multiscale correlation contagion statistic to test for stock market contagion during the global financial crisis (GFC) from the US to the other six G7 and BRIC countries. We find that cross-market correlations between the US and selected countries are conditional on the time scale. Stock market contagion during the GFC is dependent on both the recipient country and the time scale, e.g...
In this paper, we investigate the fractal (non-fractal) property of stock market network by using the edge-covering with simulated annealing method. We choose the daily closing price of 2109 stocks traded on the NYSE during the period from 2011 to 2014 as dataset and construct the network by using minimal spanning tree (MST). The empirical results show that the degree of stocks obeys power-law distribution...
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