In this paper we analyze financial market integration via coherent network approach. For this we employ U-statistic to measure connectivity (or integration) of the financial market network and derive its asymptotic distribution. Using asymptotic distribution of U-statistic, we test a degree of market integration and obtain its density estimates. Our results clearly address the three key issues of market integration, contagion and efficient market hypothesis (EMH) in a coherent manner. It is interesting to report that the network approach based on U-statistic sheds clear light on the downside of globalization. This strongly suggests a vicious cycle of the globalization instead of its virtuous cycle highlighted over decades. Technically it is worth mentioning that our U-statistic may serve as a robust random walk test.
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[2017년 제 1차] A Coherent Network Approach for Financial Market In
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2017-03-02