Financial Networks: Examining Market Linkages using Network Approach
- Project Identification
- Project Period
- 1/2020 - 6/2023
- Investor / Pogramme / Project type
Czech Science Foundation
- Standard Projects
- MU Faculty or unit
- Faculty of Economics and Administration
- Cooperating Organization
Institute of Information Theory and Automation of the ASCR, v. v. i.
- Responsible person prof. Ing. Evžen Kočenda, Ph.D., DSc.
This project focuses on the construction of complex networks of financial markets’ linkages around the world. First, several measures of associations will be considered, describing different aspects of market relationships. Second, suitable subgraphs will be identified, in order to create a suitable network representation capturing main dependencies between markets. Finally, the network structure will be used in inference either as explanatory factor in modelling market characteristics, as well as a dependent variable to be explained by market nodal and edge attributes. This modelling should provide insights into phenomena such as return and volatility spillovers, as well as contagion in times of crisis.
Sustainable Development Goals
Masaryk University is committed to the UN Sustainable Development Goals, which aim to improve the conditions and quality of life on our planet by 2030.
Total number of publications: 4
Measuring systemic risk in the global banking sector: A cross-quantilogram network approach
Economic Modelling, year: 2022, volume: 109, edition: April, DOI
The looming crisis in the Chinese stock market? Left-tail exposure analysis of Chinese stocks to Evergrande
Finance Research Letters, year: 2022, volume: 49, edition: October, DOI
YOLO trading: Riding with the herd during the GameStop episode
Finance Research Letters, year: 2022, volume: 46, edition: May, DOI
Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks
Resources Policy, year: 2021, volume: 74, edition: 12, DOI