Relations between International macroeconomic network and stock markets network

• Main Authors: Hui-Ni Hsu, 徐慧妮
• Other Authors: Tai Ma
• Format: Others
• Language: en_US
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/p4m229

碩士 === 國立中山大學 === 財務管理學系研究所 === 107 === This study attempts to explore the relations among macroeconomics and international stock markets with network analysis approach, a new look at an old question. Numerous studies have dwelled on the relations between macroeconomics and stock returns, however, the conventional econometric approach may not be able to fully disclose the complexity of the connections among international stock markets network and macroeconomics. The purposes of this study are threefold: 1. To construct the international stock market return network and examine the effect of macroeconomics on the topology (e.g., centrality and modularity) of the stock market. 2. To investigate the effect of network topology parameters on stock market returns. For example, is a stock market with higher centrality more profitable? 3. To construct the international macroeconomics network and explore the dynamic relations between the two networks via data visualization. More information or even new facts may be found by observing the pattern of the two networks’ changes dynamically over time.