A network-based approach to study returns synchronization of stocks: The case of global equity markets

Lavín, Jaime F.; Valle, Mauricio A.; Magner, Nicolás S.

A network-based approach to study returns synchronization of stocks: The case of global equity markets

dc.contributor.author	Lavín, Jaime F.	es
dc.contributor.author	Valle, Mauricio A.	es
dc.contributor.author	Magner, Nicolás S.	es
dc.date.accessioned	2021-12-21T11:51:16Z
dc.date.available	2021-12-21T11:51:16Z
dc.date.issued	2021-11-09
dc.description.abstract	The synchronization in financial markets has increased during the rise of global markets. Nevertheless, global shocks provoke high levels of returns synchronization that jeopardize market stability. Using correlation-based networks, regressions, and VAR models, we measure and estimate the effect of global synchronization on the world equity markets of North America, Latin America, Europe, Asia, and Oceania between July 2001 and April 2020. We find that our measure of global stock synchronization is dynamic over time, its minimums coincide with significant financial shocks, and it shrinks to its minimum levels, indicating that the returns of global markets are moving in a synchronized way. Also, it is a significant and positive factor of regional synchronization. Regional markets react heterogeneously to global synchronization shocks suggesting both local and global factors are sources of synchronization. Our work helps market participants who need to measure, monitor, and manage the synchronization of returns in a parsimonious, dynamic, and empirically tractable way. Our evidence highlights the necessity of including synchronization as a risk factor to assess the decision-making criteria of a broad range of market participants ranging from regulators to investors. To policy-makers, governments, and central banks, our work is a call to incorporate events of high global synchronization into the radar of hazards of the whole market stability.	en
dc.identifier.citation	Complexity, Vol. 2021, 7676457 (2021) p. 24	es
dc.identifier.doi	https://doi.org/10.1155/2021/7676457
dc.identifier.issn	1099-0526
dc.identifier.orcid	https://orcid.org/0000-0003-1362-2776	es
dc.identifier.uri	http://hdl.handle.net/20.500.12254/2165
dc.language.iso	en	en
dc.publisher	Hindawi	en
dc.rights	Atribución-NoComercial-CompartirIgual 3.0 Chile (CC BY-NC-SA 3.0 CL)	en
dc.rights.uri	http://creativecommons.org/licenses/by-nc-sa/3.0/cl/	en
dc.title	A network-based approach to study returns synchronization of stocks: The case of global equity markets	en
dc.type	Artículo	es