Detailed Information
Cited 6 time in 
Cited 8 time in 
Cited 8 time in
Metadata Downloads
Analysis of the global financial crisis using statistical moments
- Authors
- Jun, Doobae; Ahn, Changmo; Kim, Gwangil
- Issue Date
- May-2017
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Keywords
- Global financial crisis; Stock-market index; Standardization; Standardized normalization; Statistical moments
- Citation
- FINANCE RESEARCH LETTERS, v.21, pp 47 - 52
- Pages
- 6
- Indexed
- SSCI
SCOPUS
- Journal Title
- FINANCE RESEARCH LETTERS
- Volume
- 21
- Start Page
- 47
- End Page
- 52
- ISSN
- 1544-6123
1544-6131
- Abstract
- In this paper, we investigate the impacts of the global financial crisis on the statistical properties of the stock market indices. And we also suggest a possible warning signal of the global financial crisis from the changes in the statistical properties. In order to do that, we treat the world stock markets as a web of relations, which is described by a distribution in the standardized normalization coordinate system: Quarterly world stock-market indices are standardized by re-scaling each index and then normalizing the whole time-series so that every sample of standardized indices has the same mean and variance. By plotting the higher moments of this normalized series, it is possible to identify singularities which might have warned of the dotcom bubble crash in 2002, the 2008 financial crisis, and the European sovereign debt crisis of 2009-10. (C) 2016 Elsevier Inc. All rights reserved.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - 자연과학대학 > 수학과 > Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.