Abstract
The purpose of this paper is to investigate the hierarchical structure of the European capital markets in the periods before and after the Global Financial Crisis of 2007-2009. The author uses weekly logarithmic stock market returns of the 28 main indexes of the European exchanges, both from the developed and developing markets, in the period 2000-2016. The examination is based on agglomerative clustering methods, primarily on the Ward’s linkage method. The results show that the Global Financial Crisis has changed the hierarchy of the markets. They also indicate which groups of markets are most strongly interconnected.
Highlights
The purpose of this paper is to investigate the hierarchical structure of the European capital markets in the periods before and after the Global Financial Crisis of 2007-2009
The examination is based on agglomerative clustering methods, primarily on the Ward’s linkage method
The results show that the Global Financial Crisis has changed the hierarchy of the markets
Summary
The purpose of this paper is to investigate the hierarchical structure of the European capital markets in the periods before and after the Global Financial Crisis of 2007-2009. The results show that the Global Financial Crisis has changed the hierarchy of the markets. They indicate which groups of markets are most strongly interconnected. Z literatury jest znany fakt istotnego wzrostu korelacji między rynkami finansowymi w okresach kryzysów. Analiza struktury powiązań między rynkami może pomóc w identyfikacji rynków szczególnie silnie oddziałujących na siebie oraz tych, których wzajemne powiązania są niewielkie. Celem pracy jest zbadanie struktury powiązań między 28 europejskimi rynkami finansowymi dzięki metodom aglomeracyjnym. Wyniki analizy struktury hierarchicznej badanej grupy rynków finansowych w okresach przed i po globalnym kryzysie finansowym lat 2007-2009.
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