The Evolution of Interdependence in World Equity Markets - Evidence from Minimum Spanning Trees

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dc.creatorCoelho, Ricardo
dc.creatorGilmore, Claire G.
dc.creatorLucey, Brian
dc.creatorRichmond, Peter
dc.creatorHutzler, Stefan
dc.date2006-07-04
dc.date.accessioned2026-07-07T09:22:35Z
dc.date.available2026-07-07T09:22:35Z
dc.descriptionThe minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean occupation layer, and single- and multiple-step linkage survival rates. Over the period studied, 1997-2006, the tree shows a tendency to become more compact. This implies that global equity markets are increasingly interrelated. The consequence for global investors is a potential reduction of the benefits of international portfolio diversification.
dc.description17 pages, 8 figures, submitted to Physica A
dc.identifierhttps://arxiv.org/abs/physics/0607022
dc.identifierhttp://arxiv.org/abs/physics/0607022
dc.identifierPhysica A 376, 455 (2007)
dc.identifierdoi:10.1016/j.physa.2006.10.045
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/155428
dc.subjectPhysics and Society
dc.titleThe Evolution of Interdependence in World Equity Markets - Evidence from Minimum Spanning Trees
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