英文标题：
《Return spillovers around the globe: A network approach》
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作者：
Stefan Lyocsa, Tomas Vyrost, Eduard Baumohl
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最新提交年份：
2015
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英文摘要：
  Using a rolling windows analysis of filtered and aligned stock index returns from 40 countries during the period 2006-2014, we construct Granger causality networks and investigate the ensuing structure of the relationships by studying network properties and fitting spatial probit models. We provide evidence that stock market volatility and market size increases, while foreign exchange volatility decreases the probability of return spillover from a given market. We also show that market development and returns on the foreign exchange market and stock market also matter, but they exhibit significant time-varying behaviour with alternating effects. These results suggest that higher market integration periods are alternated with periods where investors appear to be chasing returns. Despite the significance of market characteristics and market conditions, what in reality matters for information propagation is the temporal distance between closing hours, i.e. the temporal proximity effect. This implies that choosing markets which trade in similar hours bears additional costs to investors, as the probability of return spillovers increases. The same effect was observed with regard to the temporal distance to the US market. Finally, we confirm the existence of the preferential attachment effect, i.e. the probability of a given market to propagate return spillovers to a new market depends endogenously and positively on the existing number of return spillovers from that market.
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中文摘要：
通过对2006-2014年期间40个国家经过过滤和调整的股票指数收益率进行滚动窗口分析，我们构建了格兰杰因果关系网络，并通过研究网络特性和拟合空间概率模型研究了随后的关系结构。我们提供的证据表明，股票市场的波动性和市场规模增加，而外汇市场的波动性降低了特定市场的回报溢出概率。我们还表明，外汇市场和股票市场的市场发展和回报也很重要，但它们表现出显著的时变行为和交替效应。这些结果表明，更高的市场整合期与投资者追求回报的时期交替出现。尽管市场特征和市场条件很重要，但对信息传播来说，实际上重要的是关门时间之间的时间距离，即时间邻近效应。这意味着，随着回报溢出概率的增加，选择在相似时间交易的市场会给投资者带来额外成本。在与美国市场的时间距离方面也观察到了同样的效果。最后，我们确认了优先依附效应的存在，即给定市场向新市场传播收益溢出的概率内生性地、积极地取决于该市场现有的收益溢出数量。
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分类信息：

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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