Before revision: The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 40 stock markets from 2nd January 2006 to 31st December 2013.
After revision: Using a rolling windows analysis of filtered and aligned stock index returns from 40 countries during the period 2006-2014, we construct Granger causality networks using daily closing prices of 40 stock markets from 2nd January 2006 to 31st December 2013.