Pablo García Estévez, Salvador Roji Ferrari, Teresa Corzo Santamaria
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引用次数: 2
Abstract
ABSTRACT This paper addresses the contagion problem between stock exchanges and uses self-organizing maps (SOMs) to develop a two-dimensional map based on five market variables from 48 stock exchanges around the world for the 2000–2012 period. The study addresses markets worldwide that have different levels of economic development. Using five market variables, we group stock exchanges into distinctive clusters and analyze their similarities, differences, and dynamics. The technique applied, artificial neural networks (ANNs), is a non-parametric visualization tool to study the dynamics of the markets worldwide following a non-traditional perspective based on the specific formation of groups and their evolution. Each group is defined by the Euclidean distances between markets. There are certain common features, both economic and geographic, within the migrant and static exchanges, which offer new insights. By applying the standard contagion methodology to the resulting groups, we study the spread of the subprime crisis and find evidence of contagion, as well as a high interdependence between markets for the entire period under consideration.
期刊介绍：
The Spanish Journal of Finance and Accounting ( SJFA) is a quarterly academic journal founded in 1972. It aims to publish high quality research papers in accounting and finance. The scope of SJFA covers theoretical and empirical analysis relating to financial markets and institutions, corporate finance, market microstructure, corporate governance, internal and management accounting and a wide spectrum of financial performance and financial reporting, including auditing and public accounting. The Journal welcomes both theoretical and empirical contributions, and in particular, theoretical papers that yield novel testable implications and empirical papers that are theoretically well motivated. The journal is not a suitable outlet for highly abstract mathematical papers or empirical papers with inadequate theoretical motivation. All manuscripts that meet these editorial guidelines are blind reviewed by external reviewers. SJFA sponsors a periodic conference in which selected papers under review are presented and discussed by additional reviewers in order to increase the quality of the papers published in the journal. If accepted for publication, these selected articles are published in the Journal with a special distinction. The Journal welcomes replies and discussions to both published and forthcoming articles. These contributions, if accepted by the editors, may eventually be published jointly with a reply or comment by the authors of the original paper.
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