We examined how the correlation and network structure of the global indices and local Korean indices have changed during years 2000-2012. The average correlations of the global indices increased with time, while the local indices showed a decreasing trend except for drastic changes during the crises. A significant change in the network topologies was observed due to the financial crises in both markets. The Jaccard similarities identified the change in the market state due to a crisis in both markets. The dynamic change of the Jaccard index can be used as an indicator of systemic risk or precursors of the crisis. (C) 2014 Elsevier B.V. All rights reserved.
Physics Letters a, 2014, Vol 378, Issue 34, p. 2482-2489
FINANCIAL-MARKETS CROSS-CORRELATIONS CRISIS FLUCTUATIONS VOLATILITY INFORMATION EXCHANGE BEHAVIOR MODEL