Currency crises and the evolution of foreign exchange market: Evidence from minimum spanning tree

The evolution of interdependence in worl

The evolution of interdependence in world equity markets—Evidence from minimum spanning trees

✍ Ricardo Coelho; Claire G. Gilmore; Brian Lucey; Peter Richmond; Stefan Hutzler 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 409 KB

The concept of a minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean occupation layer, and single-and multiple-step linkage s