소셜네트워크분석 접근법을 활용한 글로벌 금융시장 네트워크 분석

We analyzed the structures and properties of the global financial market networks using social network analysisapproach. The Minimum Spanning Tree (MST) lengths and networks of the global financial markets based on thecorrelation coefficients have been analyzed. Firstly, similar to the previous studies on the global stock indices usingMST length, the diversification effects in the global multi-asset portfolio can disappear during the crisis as the correlationsamong the asset class and within the asset class increase due to the system risks. Second, through the networkvisualization, we found the clustering of the asset class in the global financial markets network, which confirms thepossible diversification effect in the global multi-asset portfolio. Meanwhile, we found the changes in the structureof the network during the crisis. For the last one, in terms of the degree centrality, the stock indices were the mostinfluential to other assets in the global financial markets network, while in terms of the betweenness centrality, Gold,Silver and AUD. In the practical perspective, we propose the methods such as MST length and network visualizationto monitor the change of the correlation risk for the risk management of the multi-asset portfolio.