An ever-closer union? Examining the evolution of linkages of European equity markets via minimum spanning trees

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 25, 2008, Pages 6319-6329

  Gilmore, Claire G ^a   Lucey, Brian M ^b   Boscia, Marian ^a  

^a KING'S COLLEGE   (United States)

^b TRINITY COLLEGE DUBLIN   (Ireland)

Author keywords

Econophysics; Minimum spanning trees

Indexed keywords

CHAINS; COMMERCE; QUERY PROCESSING;

ACCESSION STATES; CZECH REPUBLIC; ECONOPHYSICS; EQUITY MARKETS; EUROPEAN; EUROPEAN MARKETS; EUROPEAN UNION; HIERARCHICAL TREES; HUNGARY; MINIMUM SPANNING TREE; MINIMUM SPANNING TREES; POTENTIAL REDUCTIONS; STOCK MARKETS;

MARKETING;

EID: 50849124104     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.07.012     Document Type: Article

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21. We also conducted the analysis using equal-size windows (139 weeks each). The centrality of France in each subperiod is unaffected. In the first subperiod the only linkage change is that of Ireland to Belgium instead of to Germany; there were two minor changes in order of joining the tree. In the second subperiod the CEE countries are somewhat more scattered in the MST than in Fig. 3a and b. Since the equal-size second window now includes several months more distant from the Accession date, this result probably reinforces the influence of EU events in bringing about the more cohesive alignment of the new members. By coincidence the third equal-size window covers the same period as the May 2004-December 2006 window used for Fig. 4a and b. Results of the equally spaced windows are available on request.
22. The centrality of France in the MSTs cannot be explained by reference to correlations of the French market with the US equity market (S&P500 index), as correlations for the period are higher for Germany and the US, as well as for Germany and France, than they are for France and the US.
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