Advertisement

Journal of the Korean Physical Society

, Volume 71, Issue 10, pp 733–739 | Cite as

Financial states of world financial and commodities markets around sovereign debt crisis

  • Ashadun NobiEmail author
  • Jae Woo LeeEmail author
Article
First Online:

Abstract

We applied a threshold method to construct a complex network from cross-correlations coefficients of 46 daily time series comprised of 23 global indices and 23 commodity futures from 2010 - 2014. We identify financial states of both global indices and commodity futures based on the change of the network structure. The trend of the average correlation is decreasing except sharp peak during crises during the study period. The threshold networks are generated at a threshold value of θ = 0.1 and the change of degrees of each node over time is used to identify the financial state for each index. We observe that commodity futures, such as EU CO2 emission, live cattle, natural gas as well as the financial indices of Jakarta and Indonesia stock exchange (JKSE) and Kuala Lumpur stock exchange (KLSE) change states frequently. By the average change in links we identify the indices which are more reactive to crises.

Keywords

Commodity market Sovereign debt crisis 
This is a preview of subscription content, log in to check access.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. [1]
    European Stability Mechanism: https//www.esm.euro pa.eu.Google Scholar
  2. [2]
    R. N. Mantegna and H. E. Stanley, An introduction to Econophysics (Cambridge University Press, Cambridge, 2000).zbMATHGoogle Scholar
  3. [3]
    J. P. Bouchaud and M. Potters, Theory of Financial Risk (Cambridge University Press, Cambridge, 2000).zbMATHGoogle Scholar
  4. [4]
    D. Challet and Y. C. Zhang, Physica A 246, 407 (1997).ADSCrossRefGoogle Scholar
  5. [5]
    T. Lux and M. Marchesi, Nature 397, 498 (1999).ADSCrossRefGoogle Scholar
  6. [6]
    P. Stauffer, P. M. C De Oliveria and A. T. Bernardes, Int. J. Theor. Appl. Finance. 2, 83 (1999).CrossRefGoogle Scholar
  7. [7]
    V. M. Eguiluz and M. G. Zimmermann, Phys. Rev. Lett. 85, 5659 (2000).ADSCrossRefGoogle Scholar
  8. [8]
    S. Kumar and N. Deo, Phys. Rev. E 86, 026101 (2012).ADSCrossRefGoogle Scholar
  9. [9]
    T. D. Matteo, F. Pozzi and T. Aste, Eur. Phys. J. B 73, 3 (2010).ADSMathSciNetCrossRefGoogle Scholar
  10. [10]
    Z. Zheng, K. Yamasaki, J. N. Tenenbaum and H. E. Stanley, Phys. Rev. E 87, 012814 (2013).ADSCrossRefGoogle Scholar
  11. [11]
    R. K. Pan and S. Sinha, Phys. Rev. E 76, 046116 (2007).ADSCrossRefGoogle Scholar
  12. [12]
    Z. Zheng, B. Podobnik, L. Feng and B. Li, Sci. Rep. 2, 888 (2012).ADSCrossRefGoogle Scholar
  13. [13]
    H. Meang, W-J. Xie, Z-Q. Jiang, B. Podobnik, W-X. Zhou and H. E. Stanley, Sci. Rep. 4, 3655 (2014).CrossRefGoogle Scholar
  14. [14]
    J-P. Onnella, A. Chakraborti, K. Kaski, J. Kertesz and A. Kanto, Phys. Rev. E 68, 056110 (2003).ADSCrossRefGoogle Scholar
  15. [15]
    M-Y. Cha, J. W. Lee, D-S. Lee and D. H. Kim, Comp. Phys. Commun. 182, 216 (2011).ADSCrossRefGoogle Scholar
  16. [16]
    J. He and M. W. Deem, Phys. Rev. Lett. 105, 198701 (2010).ADSCrossRefGoogle Scholar
  17. [17]
    J. W. Lee, K. E. Lee and P. A. Rikvold, Physica A 364, 355 (2006).ADSCrossRefGoogle Scholar
  18. [18]
    G-G. Ha, J. W. Lee and A. Nobi, J. Korean Phys. Soc. 66, 1802 (2015).ADSCrossRefGoogle Scholar
  19. [19]
    A. Nobi, S. E. Maeng, G-G. Ha and J. W. Lee, J. Korean Phys. Soc. 66, L1153 (2015).ADSCrossRefGoogle Scholar
  20. [20]
    D-M. Song, M. Tumminello, W-X. Zhou and R. N. Mantegna, Phys. Rev. E 84, 026108 (2011).ADSCrossRefGoogle Scholar
  21. [21]
    A. Nobi and J. W. Lee, Physica A 450, 85 (2016).ADSCrossRefGoogle Scholar
  22. [22]
    M. C. Munnix, T. Shimada, R. Schafer, T. H. Sheligma, T. Guhr and H. E. Stanley, Sci. Rep. 2, 644 (2012).CrossRefGoogle Scholar
  23. [23]
    Z. Zheng, K. Yamasaki, J. N. Tenenbaum and H. E. Stanley, Phys. Rev. E 87, 012814 (2013).ADSCrossRefGoogle Scholar
  24. [24]
    J. Dias, Physics A 391, 2046 (2012).ADSCrossRefGoogle Scholar
  25. [25]
    L. Sandoval Jr. and I. D. P Franca, Physica A 391, 187 (2012).ADSCrossRefGoogle Scholar
  26. [26]
    A. Nobi, S. Lee, D. H. Kim and J. W. Lee, Physics Letters A 378, 2482 (2014).ADSCrossRefGoogle Scholar
  27. [27]
    R. J. Caballero and A. Krishnamurthy, Journal of Finance 63, 2195 (2008).CrossRefGoogle Scholar
  28. [28]
    W. Q. Huang, X. T. Zhuang and S. Yao, Physica A 388, 2956 (2009).ADSCrossRefGoogle Scholar
  29. [29]
    http://finance.yahoo.com/quote/YHOO/history?p=YH OO. https://www.investing.com/commodities/.Google Scholar

Copyright information

© The Korean Physical Society 2017

Authors and Affiliations

  1. 1.Department of Computer Science and Telecommunication EngineeringNoakhali Science and Technology UniversityNoakhaliBangladesh
  2. 2.Department of PhysicsInha UniversityIncheonKorea

Personalised recommendations

Cite article

Buy options