英文标题：
《Interconnectedness in the Global Financial Market》
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作者：
Matthias Raddant and Dror Y. Kenett
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最新提交年份：
2020
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英文摘要：
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events. This paper analyzes the dependencies among nearly 4,000 stocks from 15 countries. The returns are normalized by the estimated volatility using a GARCH model and a robust regression process estimates pairwise statistical relationships between stocks from different markets. The estimation results are used as a measure of statistical interconnectedness, and to derive network representations, both by country and by sector. The results show that countries like the United States and Germany are in the core of the global stock market. The energy, materials, and financial sectors play an important role in connecting markets, and this role has increased over time for the energy and materials sectors. Our results confirm the role of global sectoral factors in stock market dependence. Moreover, our results show that the dependencies are rather volatile and that heterogeneity among stocks is a non-negligible aspect of this volatility.
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中文摘要：
全球金融体系高度复杂，具有跨境互联和相互依赖性。在这种高度相互关联的环境中，本地金融冲击和事件很容易被放大并转化为全球事件。本文分析了15个国家近4000只股票之间的相关性。使用GARCH模型和稳健回归过程估计不同市场股票之间的成对统计关系，通过估计波动率对收益进行归一化。估计结果被用作统计互联性的衡量标准，并按国家和部门推导网络表示。结果表明，美国和德国等国家是全球股市的核心。能源、材料和金融部门在连接市场方面发挥着重要作用，能源和材料部门的这一作用随着时间的推移而增加。我们的结果证实了全球部门因素在股市依赖性中的作用。此外，我们的结果表明，依赖性相当不稳定，股票之间的异质性是这种波动的一个不可忽视的方面。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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