Table 1.
Three-tier CSI Industry indices and respective symbols.
Fig 1.
Minimum spanning tree of one-tier CSI industry indices.
(2002/1/6-2015/7/1).
Fig 2.
Hierarchical tree of one-tier CSI industry indices.
(2002/1/6-2015/7/1).
Fig 3.
Time-varying highest centrality measures and the corresponding indices in the one-tier MST.
(2002/1/6-2015/7/1).
Fig 4.
Minimum spanning tree of two-tier CSI industry indices.
(2009/1/6-2015/7/1).
Fig 5.
Hierarchical tree of two-tier CSI industry indices.
(2009/1/6-2015/7/1).
Fig 6.
Time-varying highest centrality measures and the corresponding indices in the two-tier MST.
(2009/1/6-2015/7/1).
Fig 7.
Minimum spanning tree of three-tier CSI industry indices.
(2009/1/6-2015/6/25).
Fig 8.
Hierarchical tree of three-tier CSI industry indices.
(2009/1/6-2015/6/25).
Fig 9.
Time-varying highest centrality measures and the corresponding indices in the three-tier MST.
(2009/1/6-2015/6/25).
Fig 10.
MST-RC of one-tier CSI industry indices.
(a) shows the MST-RC of one-tier CSI industry indices during the whole study period (2002/1/6-2015/7/1). (b) shows the MST-RC of one-tier CSI industry indices on October 2008 (Window length = 6 months). (c) shows the MST-RC of one-tier CSI industry indices on October 2008 (Window length = 12 months).
Fig 11.
Dynamic mean correlation coefficients.
(a) shows the one-tier MST (2002/1/6-2015/7/1). (b) shows the two-tier MST (2009/1/6-2015/7/1). (c) shows the three-tier MST (2009/1/6-2015/6/25).
Fig 12.
(a) shows the one-tier MST (2002/1/6-2015/7/1). (b) shows the two-tier MST (2009/1/6-2015/7/1). (c) shows the three-tier MST (2009/1/6-2015/6/25).
Fig 13.
Dynamic normalized tree length.
(a) shows the one-tier MST (2002/1/6-2015/7/1). (b) shows the two-tier MST (2009/1/6-2015/7/1). (c) shows the three-tier MST (2009/1/6-2015/6/25).
Table 2.
Dynamic GMM-regression results.