Before revision: By conducting a rolling window spatial probit analysis on the set of edges of Granger causality networks , we confirm the significance of temporal proximity and preferential attachment on edge creation.We extend the analysis by incorporating market specific factors, such as market capitalization, turnover and volatility .
After revision: By conducting a rolling window spatial probit analysis on the set of edges of Granger causality networks , we confirm the existence of the preferential attachment effect, i.e. the probability of a given market to propagate return spillovers to a new market depends endogenously and positively on the existing number of return spillovers from that market .