期刊名称：International Journal of Computer Science & Technology
印刷版ISSN：2229-4333
电子版ISSN：0976-8491
出版年度：2016
卷号：7
期号：1
页码：60-69
语种：English
出版社：Ayushmaan Technologies
摘要：The correlation of stock returns across different markets has been widely applied to evaluate the spillover effects across stock markets. The impacts of U.S. subprime crisis of 2007 have been an important issue in academic literature during and shortly after crisis period because of its very severe effects on financial markets and reel economy in all over the world. In this paper, we investigate degree of correlation or co-movement of 5 major stock markets of 5 countries: India (Nifty), China (SHCOMP), Germany (DAX), United Kingdom (FTSE 100) and Japan (NKY) in relation to U.S. stock market (NASDAQ) independently using a hybrid wavelet and neural network model. We use a simple Multi-layer Perceptron Neural Network (MLPNN) based wavelet decomposition to analyse the relationship between these stock markets. The study indicate that the hybrid model can provide a valuable alternative to the existing conventional methodologies in testing financial contagions and better untangle the relationships between financial institutions.
