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


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.


Commodity market Sovereign debt crisis 


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© 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

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