The evolution of interdependence in world equity markets—Evidence from minimum spanning trees

Abstract The concept of a 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.

• Publication year

  2006

• Venue

  Physica A-statistical Mechanics and Its Applications

• Publication date

  2006-07-04

• Fields of study

  Physics, Economics

• Identifiers
  DOI 10.1016/j.physa.2006.10.045arXiv physics/0607022
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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