Network structures of the European stock market
| Autoři | |
|---|---|
| Rok publikování | 2012 |
| Druh | Článek ve sborníku |
| Konference | Proceedings of the 30th International Conference Mathematical Methods in Economics |
| Fakulta / Pracoviště MU | |
| Citace | |
| www | http://mme2012.opf.slu.cz/proceedings/pdf/014_Cupal.pdf |
| Obor | Ekonomie |
| Klíčová slova | stock markets; cross-correlation networks; network topology |
| Popis | The paper examines changing topological characteristics of correlation-based network of European stock markets on both national and supranational levels. First, the problem of how to correctly build a representative correlation-based procedure and choose a specific filtering procedure for identifying the strongest links is addressed. Then, network structures are investigated on several datasets, for which the data of different time intervals and varying frequency are assembled. On a national level, core stem of stock markets of highly developed countries is found to be stable over time with French market playing the central role. On the supranational level, stocks are clustered based on their economic sector, rather than country’s origin. Network modeling of a stock market proves to be highly useful and powerful tool, since network formulation could give much insight and understanding on mutual dependence of stocks’ behavior by simply examining graphic representation of the market. |