Effects of Financial Crises on Threshold Network of World Stocks and Commodity Markets

Ashadun Nobi; Nahid Akter; Shafiqul Alam

doi:doi:10.11648/j.jbed.20210603.15

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Effects of Financial Crises on Threshold Network of World Stocks and Commodity Markets

Ashadun Nobi, Nahid Akter, Shafiqul Alam

Published in Journal of Business and Economic Development (Volume 6, Issue 3)

Received: 30 June 2021 Accepted: 4 August 2021 Published: 18 August 2021

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Abstract

The core focus of the study is to investigate the impact of European crises on commodity and world stock market indices. To investigate the impact during and after crisis, the technique of threshold has been applied to make a complex network from the cross-correlations of the returns of 46 daily time series comprising of 23 global stock market indices and 23 commodity futures from 2010 to 2014. The networks are fragmented with the increase of threshold and the study detects a sturdy association between commodities and stock indices at high threshold during severe crisis of 2011. The dynamic of inter-links between two groups at threshold 0.1 show dissimilar behavior with the dynamic of inter-degrees of individual group of commodities with stock indices. The change of intra-degrees among individual groups of stock and commodities demonstrates that the effect of Cypriot crisis in first half of 2013 on financial indices is more shocking than those of commodity futures. The dynamic of clustering coefficient identifies that Asian financial indices and index of agricultural sector under commodity market are more responsive during as well as after crises. Finally, we propose a definition to measure the states of the network artifact. Identifying the dynamic movement of market state and network structure can be useful as an early warning of upcoming crisis and portfolio investment.

Published in	Journal of Business and Economic Development (Volume 6, Issue 3)
DOI	10.11648/j.jbed.20210603.15
Page(s)	161-169
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2021. Published by Science Publishing Group

Keywords

World Stock Market, Commodities Market, Threshold Network, Cross Correlation, Dynamic Network Structure

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APA Style

Ashadun Nobi, Nahid Akter, Shafiqul Alam. (2021). Effects of Financial Crises on Threshold Network of World Stocks and Commodity Markets. Journal of Business and Economic Development, 6(3), 161-169. https://doi.org/10.11648/j.jbed.20210603.15

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ACS Style

Ashadun Nobi; Nahid Akter; Shafiqul Alam. Effects of Financial Crises on Threshold Network of World Stocks and Commodity Markets. J. Bus. Econ. Dev. 2021, 6(3), 161-169. doi: 10.11648/j.jbed.20210603.15

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AMA Style

Ashadun Nobi, Nahid Akter, Shafiqul Alam. Effects of Financial Crises on Threshold Network of World Stocks and Commodity Markets. J Bus Econ Dev. 2021;6(3):161-169. doi: 10.11648/j.jbed.20210603.15

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@article{10.11648/j.jbed.20210603.15,
  author = {Ashadun Nobi and Nahid Akter and Shafiqul Alam},
  title = {Effects of Financial Crises on Threshold Network of World Stocks and Commodity Markets},
  journal = {Journal of Business and Economic Development},
  volume = {6},
  number = {3},
  pages = {161-169},
  doi = {10.11648/j.jbed.20210603.15},
  url = {https://doi.org/10.11648/j.jbed.20210603.15},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jbed.20210603.15},
  abstract = {The core focus of the study is to investigate the impact of European crises on commodity and world stock market indices. To investigate the impact during and after crisis, the technique of threshold has been applied to make a complex network from the cross-correlations of the returns of 46 daily time series comprising of 23 global stock market indices and 23 commodity futures from 2010 to 2014. The networks are fragmented with the increase of threshold and the study detects a sturdy association between commodities and stock indices at high threshold during severe crisis of 2011. The dynamic of inter-links between two groups at threshold 0.1 show dissimilar behavior with the dynamic of inter-degrees of individual group of commodities with stock indices. The change of intra-degrees among individual groups of stock and commodities demonstrates that the effect of Cypriot crisis in first half of 2013 on financial indices is more shocking than those of commodity futures. The dynamic of clustering coefficient identifies that Asian financial indices and index of agricultural sector under commodity market are more responsive during as well as after crises. Finally, we propose a definition to measure the states of the network artifact. Identifying the dynamic movement of market state and network structure can be useful as an early warning of upcoming crisis and portfolio investment.},
 year = {2021}
}

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TY  - JOUR
T1  - Effects of Financial Crises on Threshold Network of World Stocks and Commodity Markets
AU  - Ashadun Nobi
AU  - Nahid Akter
AU  - Shafiqul Alam
Y1  - 2021/08/18
PY  - 2021
N1  - https://doi.org/10.11648/j.jbed.20210603.15
DO  - 10.11648/j.jbed.20210603.15
T2  - Journal of Business and Economic Development
JF  - Journal of Business and Economic Development
JO  - Journal of Business and Economic Development
SP  - 161
EP  - 169
PB  - Science Publishing Group
SN  - 2637-3874
UR  - https://doi.org/10.11648/j.jbed.20210603.15
AB  - The core focus of the study is to investigate the impact of European crises on commodity and world stock market indices. To investigate the impact during and after crisis, the technique of threshold has been applied to make a complex network from the cross-correlations of the returns of 46 daily time series comprising of 23 global stock market indices and 23 commodity futures from 2010 to 2014. The networks are fragmented with the increase of threshold and the study detects a sturdy association between commodities and stock indices at high threshold during severe crisis of 2011. The dynamic of inter-links between two groups at threshold 0.1 show dissimilar behavior with the dynamic of inter-degrees of individual group of commodities with stock indices. The change of intra-degrees among individual groups of stock and commodities demonstrates that the effect of Cypriot crisis in first half of 2013 on financial indices is more shocking than those of commodity futures. The dynamic of clustering coefficient identifies that Asian financial indices and index of agricultural sector under commodity market are more responsive during as well as after crises. Finally, we propose a definition to measure the states of the network artifact. Identifying the dynamic movement of market state and network structure can be useful as an early warning of upcoming crisis and portfolio investment.
VL  - 6
IS  - 3
ER  -

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Author Information

Ashadun Nobi

Department of Computer Science and Telecommunication Engineering, Noakhali Science and Technology University, Noakhali, Bangladesh
Nahid Akter

Department of Computer Science and Telecommunication Engineering, Noakhali Science and Technology University, Noakhali, Bangladesh
Shafiqul Alam

Department of Business Administration, Noakhali Science and Technology University, Noakhali, Bangladesh

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Plain Text BibTeX RIS

APA Style

Ashadun Nobi, Nahid Akter, Shafiqul Alam. (2021). Effects of Financial Crises on Threshold Network of World Stocks and Commodity Markets. Journal of Business and Economic Development, 6(3), 161-169. https://doi.org/10.11648/j.jbed.20210603.15

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ACS Style

Ashadun Nobi; Nahid Akter; Shafiqul Alam. Effects of Financial Crises on Threshold Network of World Stocks and Commodity Markets. J. Bus. Econ. Dev. 2021, 6(3), 161-169. doi: 10.11648/j.jbed.20210603.15

Copy | Download

AMA Style

Ashadun Nobi, Nahid Akter, Shafiqul Alam. Effects of Financial Crises on Threshold Network of World Stocks and Commodity Markets. J Bus Econ Dev. 2021;6(3):161-169. doi: 10.11648/j.jbed.20210603.15

Copy | Download

@article{10.11648/j.jbed.20210603.15,
  author = {Ashadun Nobi and Nahid Akter and Shafiqul Alam},
  title = {Effects of Financial Crises on Threshold Network of World Stocks and Commodity Markets},
  journal = {Journal of Business and Economic Development},
  volume = {6},
  number = {3},
  pages = {161-169},
  doi = {10.11648/j.jbed.20210603.15},
  url = {https://doi.org/10.11648/j.jbed.20210603.15},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jbed.20210603.15},
  abstract = {The core focus of the study is to investigate the impact of European crises on commodity and world stock market indices. To investigate the impact during and after crisis, the technique of threshold has been applied to make a complex network from the cross-correlations of the returns of 46 daily time series comprising of 23 global stock market indices and 23 commodity futures from 2010 to 2014. The networks are fragmented with the increase of threshold and the study detects a sturdy association between commodities and stock indices at high threshold during severe crisis of 2011. The dynamic of inter-links between two groups at threshold 0.1 show dissimilar behavior with the dynamic of inter-degrees of individual group of commodities with stock indices. The change of intra-degrees among individual groups of stock and commodities demonstrates that the effect of Cypriot crisis in first half of 2013 on financial indices is more shocking than those of commodity futures. The dynamic of clustering coefficient identifies that Asian financial indices and index of agricultural sector under commodity market are more responsive during as well as after crises. Finally, we propose a definition to measure the states of the network artifact. Identifying the dynamic movement of market state and network structure can be useful as an early warning of upcoming crisis and portfolio investment.},
 year = {2021}
}

Copy | Download

TY  - JOUR
T1  - Effects of Financial Crises on Threshold Network of World Stocks and Commodity Markets
AU  - Ashadun Nobi
AU  - Nahid Akter
AU  - Shafiqul Alam
Y1  - 2021/08/18
PY  - 2021
N1  - https://doi.org/10.11648/j.jbed.20210603.15
DO  - 10.11648/j.jbed.20210603.15
T2  - Journal of Business and Economic Development
JF  - Journal of Business and Economic Development
JO  - Journal of Business and Economic Development
SP  - 161
EP  - 169
PB  - Science Publishing Group
SN  - 2637-3874
UR  - https://doi.org/10.11648/j.jbed.20210603.15
AB  - The core focus of the study is to investigate the impact of European crises on commodity and world stock market indices. To investigate the impact during and after crisis, the technique of threshold has been applied to make a complex network from the cross-correlations of the returns of 46 daily time series comprising of 23 global stock market indices and 23 commodity futures from 2010 to 2014. The networks are fragmented with the increase of threshold and the study detects a sturdy association between commodities and stock indices at high threshold during severe crisis of 2011. The dynamic of inter-links between two groups at threshold 0.1 show dissimilar behavior with the dynamic of inter-degrees of individual group of commodities with stock indices. The change of intra-degrees among individual groups of stock and commodities demonstrates that the effect of Cypriot crisis in first half of 2013 on financial indices is more shocking than those of commodity futures. The dynamic of clustering coefficient identifies that Asian financial indices and index of agricultural sector under commodity market are more responsive during as well as after crises. Finally, we propose a definition to measure the states of the network artifact. Identifying the dynamic movement of market state and network structure can be useful as an early warning of upcoming crisis and portfolio investment.
VL  - 6
IS  - 3
ER  -

Copy | Download